Title:

Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model

Authors:

José da Fonseca (Auckland U Technology)
Riadh Zaatour (Ecole Centrale Paris)

Journal:

Journal of Futures Markets

Year:

2017

Volume:

37

Number:

3

Pages:

260-285

JEL codes:

C58 - Financial Econometrics
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies