A response surface analysis of critical values for the lead‐lag ratio with application to high frequency and non‐synchronous financial data

Author:

O'Neill Michael1,Rajaguru Gulasekaran1ORCID

Affiliation:

1. Bond Business School Bond University Gold Coast QLD Australia

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Reference35 articles.

1. The simultaneous relation between fund flows and returns

2. Bibinger M. andP. A.Mykland 2013 Inference for multi‐dimensional high‐frequency data: Equivalence of methods central limit theorems and an application to conditional independence testing. Available at:http://arxiv.org/pdf/1301.2074.pdf.

3. Tail Wags Dog: Intraday Price Discovery in VIX Markets

4. INDEX FUTURES OPTIONS IN AUSTRALIA -AN EMPIRICAL FOCUS ON VOLATILITY

5. An evaluation of volatility forecasting techniques

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