Intraday variation in cross-sectional stock comovement and impact of index-based strategies
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 |
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