Epps effect

English

Etymology

Named after T. W. Epps, who proposed the effect.

Noun

Epps effect (plural Epps effects)

  1. (economics) 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.

Further reading

This article is issued from Wiktionary. The text is available under Creative Commons Attribution-Share Alike 4.0 unless otherwise noted. Additional terms may apply for the media files.