econometrics Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," ''The New Palgrave: A Dictionary of ...

and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical

correlation In statistics, correlation or dependence is any statistical relationship, whether causal or not, between two random variables or bivariate data. Although in the broadest sense, "correlation" may indicate any type of association, in statistics ...

between the returns of two different stocks decreases with the length of the interval for which the price changes are measured. The phenomenon is caused by non-synchronous/asynchronous trading and discretization effects. Another study suggests that the effect also originates in investors' herd behaviour.http://iopscience.iop.org/1367-2630/16/5/053040 - Modelling the short term herding behaviour of stock markets

References

Multivariate time series {{statistics-stub