Zusammenfassung
The Epps effect describes the decrease of correlation estimates in financial data towards smaller return (or sampling-) intervals. This behavior has been of interest since Epps discovered this phenomenon in 1979 [89]. Since then, this behavior was found in data of different stock exchanges [90–93] and foreign exchange markets [94, 95]. An example for the Epps effect in empirical data is presented in Fig. 3.1. Here, the correlation declines for return intervals Δt smaller than five minutes.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Rights and permissions
Copyright information
© 2011 Vieweg+Teubner Verlag | Springer Fachmedien Wiesbaden GmbH
About this chapter
Cite this chapter
Münnix, M.C. (2011). Distorted Financial Correlations: The Epps Effect. In: Studies of Credit and Equity Markets with Concepts of Theoretical Physics. Vieweg+Teubner. https://doi.org/10.1007/978-3-8348-8328-5_3
Download citation
DOI: https://doi.org/10.1007/978-3-8348-8328-5_3
Publisher Name: Vieweg+Teubner
Print ISBN: 978-3-8348-1771-6
Online ISBN: 978-3-8348-8328-5
eBook Packages: Physics and AstronomyPhysics and Astronomy (R0)