Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios
Year of publication: |
2004
|
---|---|
Authors: | Kanas, Angelos |
Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 29.2004, 3, p. 575-592
|
Publisher: |
Department of Economics and Finance Research and Teaching |
Subject: | Lead-lag effects | trading strategies | contrarian strategies | EGARCH | Cross Correlation Function (CCF) |
-
Testing the Existence of Lead-Lag Effects Between the US and Brazilian Stock Markets
Oliveira, Gustavo Rezende de, (2009)
-
The predictability of iron ore futures prices : a product-material lead-lag effect
He, Mengxi, (2023)
-
Mommentum in the UK stock market
Hon, Mark T., (2002)
- More ...
-
Long-run benefits from international equity diversification: a note on the Canadian evidence
Kanas, Angelos, (1998)
-
IMPLIED VOLATILITY AND THE RISK‐RETURN RELATION: A NOTE
Kanas, Angelos, (2013)
-
BANK DIVIDENDS, REAL GDP GROWTH AND DEFAULT RISK
Kanas, Angelos, (2014)
- More ...