High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model-Reference-Cited by-同舟云学术

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High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model

Published:2020-01-06 Issue:3 Volume:39 Page:605-621
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Buccheri Giuseppe¹,Corsi Fulvio²³,Peluso Stefano⁴

Affiliation:

1. Class of Science, Normale Superiore, Pisa, Italy

2. Department of Economics and Management, University of Pisa, Pisa, Italy

3. Department of Economics, City University of London, London, UK

4. Department of Statistical Sciences, Università Cattolica del Sacro Cuore, Milan, Italy

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2019.1697699

Reference41 articles.

1. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

2. Trading Mechanisms and Stock Returns: An Empirical Investigation

3. Intraday periodicity and volatility persistence in financial markets

4. Trading imbalances, predictable reversals, and cross-stock price pressure

5. Realized kernels in practice: trades and quotes

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