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High frequency analysis of lead-lag relationships between financial markets

✍ Scribed by Frank de Jong; Theo Nijman


Book ID
117628294
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
855 KB
Volume
4
Category
Article
ISSN
0927-5398

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✍ Min, Jae H.; Najand, Mohammad πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 213 KB πŸ‘ 2 views

In this article, we investigate possible lead and lag relationship in returns and volatilities between cash and futures markets in Korea. Utilizing intraday data from the newly established futures market in Korea, we find that the futures market leads the cash market by as long as 30 minutes. This r