8 citations · 17 across the 4 of their papers we have counts for
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q-fin.ST2020★ 8 cited
The Epps effect under alternative sampling schemes
Patrick Chang, Etienne Pienaar, Tim Gebbie
Time and the choice of measurement time scales is fundamental to how we choose to represent information and data in finance. This choice implies both the units and the aggregation…
q-fin.ST2020★ 1 cited
Detecting discrete processes with the Epps effect
Patrick Chang, Etienne Pienaar, Tim Gebbie
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets. We argue that it can be used to provide insight into whether tick data is…