High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Giuseppe Buccheri, Fulvio Corsi, and Stefano Peluso
| Year of publication: |
2021
|
|---|---|
| Authors: | Buccheri, Giuseppe ; Corsi, Fulvio ; Peluso, Stefano |
| Subject: | Asynchronous trading | Cross-asset trading | Granger causality | Microstructure noise | Price discovery | Marktmikrostruktur | Market microstructure | Kausalanalyse | Causality analysis | Börsenkurs | Share price | Noise Trading | Noise trading | Kapitaleinkommen | Capital income | Lag-Modell | Lag model | Wertpapierhandel | Securities trading | Elektronisches Handelssystem | Electronic trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1697699 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012588002