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A closed-form formula characterization of the Epps effect
Buccheri, Giuseppe, Livieri, Giulia, Pirino, Davide, Pollastri, AlessandroJournal:
Quantitative Finance
DOI:
10.1080/14697688.2019.1659992
Date:
October, 2019
File:
PDF, 1.35 MB
2019