Correlation and lead-lag relationships in a Hawkes microstructure model
Year of publication: |
March 2017
|
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Authors: | Fonseca, José da ; Zaatour, Riadh |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 37.2017, 3, p. 260-285
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Subject: | Bacry-Delattre-Hoffmann-Muzy Model | Börsenkurs | Share price | Korrelation | Correlation | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Schätzung | Estimation | Europa | Europe | 2010-2011 |
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