48 citations · 116 across the 6 of their papers we have counts for
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q-fin.ST2007★ 5 cited
Modeling the Epps effect of cross correlations in asset prices
Bence Toth, Balint Toth, Janos Kertesz
We review the decomposition method of stock return cross-correlations, presented previously for studying the dependence of the correlation coefficient on the resolution of data (Ep…
q-fin.ST2007★ 48 cited
The Epps effect revisited
Bence Toth, Janos Kertesz
We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are sig…