The Epps effect is the stylized fact that the more accurate you are on two time series (i.e. the more you sample them), the lower the correlations according to the usual formula. It applies to any time series that do not exist at the same sampling rate: if you oversample one of them you create ...

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Can we model components in a set of multivariate multi-period time-series data?

There are N data sets in periods occurring weekly/monthly, across a 10-year historical timeline. In each period, five dates are observed (labelled a to e), where a denotes the day the period starts/...