Título:

Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model

Autores:

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

Revista:

Journal of Futures Markets

Ano:

2017

Volume:

37

Número:

3

Páginas:

260-285

Códigos JEL:

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