High frequency lead/lag relationships : empirical facts
Year of publication: |
2014
|
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Authors: | Huth, Nicolas ; Abergel, Frédéric |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 26.2014, p. 41-58
|
Subject: | Lead/lag | High frequency correlation | Hayashi-Yoshida estimator | Tick-by-tick data | Schätzung | Estimation | Korrelation | Correlation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
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