Epps effect
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English[edit]
Etymology[edit]
Named after T. W. Epps, who proposed the effect.
Noun[edit]
Epps effect (plural Epps effects)
- (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[edit]
- Epps effect on Wikipedia.Wikipedia