Intraday variation in cross-sectional stock comovement and impact of index-based strategies
Yiwen Shen, Meiqi Shi
| Year of publication: |
2024
|
|---|---|
| Authors: | Shen, Yiwen ; Shi, Meiqi |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 2014997-9. - Vol. 68.2024, Art.-No. 100894, p. 1-28
|
| Subject: | Big data | Cross-impact | High-frequency estimation | Index-based investing | Intraday stock comovement | Schätzung | Estimation | Börsenkurs | Share price | Volatilität | Volatility | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Korrelation | Correlation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2024.100894 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014491084