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The Epps effect revisited
16 references·1 citing·42 second hop
The Epps effect revisited (2009)The Epps effect revisitedLiquidity and Market Efficiency (2007)Liquidity and Market Efficien…Correlation based networks of equity returns sampled at different time horizons (2006)Correlation based networks of…On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…Evidence on the speed of convergence to market efficiency (2005)Evidence on the speed of conv…Market efficiency in real time (2002)Market efficiency in real timeHigh-frequency cross-correlation in a set of stocks (2001)High-frequency cross-correlat…The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998)The Effects of Macroeconomic …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Announcement effects of new equity issues and the use of intraday price data (1988)Announcement effects of new e…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…The intraday speed of adjustment of stock prices to earnings and dividend announcements (1984)The intraday speed of adjustm…Comovements in Stock Prices in the Very Short Run (1979)Comovements in Stock Prices i…Trading rules, large blocks and the speed of price adjustment (1977)Trading rules, large blocks a…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Econophysics of Order-driven Markets (2011)Econophysics of Order-driven …Market and Industry Factors in Stock Price Behavior (1966)Some New Stock-Market Indexes (1966)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)New frontiers for arch models (2002)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Relation Between Price Changes and Trading Volume: A Survey (1987)Differences of Opinion Make a Horse Race (1993)Capital markets research in accounting (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Estimating betas from nonsynchronous data (1977)The Distribution of Realized Exchange Rate Volatility (2001)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Realized Volatility: A Review (2008)Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (2010)Risk measurement when shares are subject to infrequent trading (1979)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Adaptive Markets Hypothesis (2004)Analysis of Financial Time Series (2006)The Econometrics of Financial Markets (2012)The Cross-Section of Expected Stock Returns (1992)Stock market liquidity and firm value☆ (2009)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Naive Diversification Strategies in Defined Contribution Saving Plans (2001)Institutional Investors and the Informational Efficiency of Prices (2009)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Deep learning with long short-term memory networks for financial market predictions (2017)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Stock Market Structure and Volatility (1990)Predicting stock market volatility: A new measure (1995)Trade Size and Components of the Bid-Ask Spread (1995)
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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1979Comovements in Stock Prices in the Very Short Run464 cited
  • 2005Evidence on the speed of convergence to market efficiency456 cited
  • 1984The intraday speed of adjustment of stock prices to earnings and dividend announcements436 cited
  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 2002Market efficiency in real time346 cited
  • 1998The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior302 cited
  • 1988Announcement effects of new equity issues and the use of intraday price data289 cited
  • 2001High-frequency cross-correlation in a set of stocks243 cited
  • 2006Correlation based networks of equity returns sampled at different time horizons236 cited

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  • 1977Trading rules, large blocks and the speed of price adjustment187 cited
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    • 2011Econophysics of Order-driven Markets51 cited