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Statements

Subject Item
dbr:Epps_effect
rdf:type
dbo:Disease
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Epps effect
rdfs:comment
In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns of two different stocks decreases with the length of the interval for which the price changes are measured. The phenomenon is caused by non-synchronous/asynchronous trading and discretization effects. However, a current study shows that the effect originates in investors' herd behaviour.
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dbc:Multivariate_time_series
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20388747
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1072394680
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dbr:Econometrics dbc:Multivariate_time_series dbr:Herd_behaviour dbr:Cross_correlation dbr:Time_series_analysis
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dbo:abstract
In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns of two different stocks decreases with the length of the interval for which the price changes are measured. The phenomenon is caused by non-synchronous/asynchronous trading and discretization effects. However, a current study shows that the effect originates in investors' herd behaviour.
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