High-Frequency Lead-Lag Effects and Cross-Asset Linkages : A Multi-Asset Lagged Adjustment Model
Year of publication: |
2019
|
---|---|
Authors: | Buccheri, Giuseppe |
Other Persons: | Corsi, Fulvio (contributor) ; Peluso, Stefano (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Lag-Modell | Lag model | Theorie | Theory | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (53 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 1, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.2938619 [DOI] |
Classification: | C32 - Time-Series Models ; c58 ; G14 - Information and Market Efficiency; Event Studies |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Effect of Decimalization on Market Equilibrium and Price Discovery
Chelikani, Surya, (2012)
-
Zema, Sebastiano Michele, (2023)
-
Macroeconomic determinants of stock market fluctuations : the case of BIST-100
Demir, Caner, (2019)
- More ...
-
High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Buccheri, Giuseppe, (2021)
-
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano, (2015)
-
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio, (2015)
- More ...