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High-Frequency Lead-Lag Effects and Cross-Asset Linkages: a Multi-Asset Lagged Adjustment Model*
Buccheri, Giuseppe, Corsi, Fulvio, Peluso, StefanoJournal:
Journal of Business & Economic Statistics
DOI:
10.1080/07350015.2019.1697699
Date:
December, 2019
Fichier:
PDF, 1.34 MB
2019