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ArticleHigh frequency analysis of lead-lag relationships between financial markets

Theo E. Nijman1997

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Articlegreen1997

High frequency analysis of lead-lag relationships between financial markets

125 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1986Stock return variances 1990When Are Contrarian Profits Due to Stock Market Overreaction?1995One Security, Many Markets: Determining the Contributions to Price Discovery 1990The Dynamics of Stock Index and Stock Index Futures Returns 1989An Econometric Analysis of Nonsynchronous Trading 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market

Cited by

2004The Determinants of Credit Default Swap Premia 2010Covariance measurement in the presence of non-synchronous trading and market microstructure noise 2005Volatility Forecasting 2002Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?2012HAR Modeling for Realized Volatility Forecasting 2003

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Year1997

Typearticle

Published1997-06-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations125

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0927-5398(97)00009-1

openalex_workW2116796368

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A CLOSER LOOK AT THE EPPS EFFECT

2006VOLATILITY AND CORRELATION FORECASTING

1998Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market