26 citations · 44 across the 5 of their papers we have counts for
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q-fin.ST2011★ 15 cited
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
Michael C. Münnix, Rudi Schäfer
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ databa…
q-fin.ST2010
Statistical causes for the Epps effect in microstructure noise
Michael C. Münnix, Rudi Schäfer, Thomas Guhr
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of…