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High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
16 references·0 citing·50 second hop
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References

  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2005Analysis of Financial Time Series1,350 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 2009Realized kernels in practice: trades and quotes642 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • 1979Comovements in Stock Prices in the Very Short Run464 cited
  • 2015Exploiting the errors: A simple approach for improved volatility forecasting448 cited
  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data280 cited
  • 2010High-Frequency Trading, Stock Volatility, and Price Discovery219 cited

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1987
Order Arrival, Quote Behavior, and the Return-Generating Process
165 cited
  • 2008Trading imbalances, predictable reversals, and cross-stock price pressure149 cited
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