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Epps effect

From Wiktionary, the free dictionary

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English

Etymology

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

Noun

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

Epps effect on Wikipedia.Wikipedia

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