To lag or not to lag?

Details To lag or not to lag? To lag or not to lag?

2012-01-22

arxiv.org/abs/1201.4586v1

Economy

Quantitative Finance

General Finance

Scientific paper

Financial markets worldwide do not have the same working hours. As a
consequence, the study of correlation or causality between financial market
indices becomes dependent on wether we should consider in computations of
correlation matrices all indices in the same day or lagged indices. The answer
is that we should consider both.

Affiliated with

Also associated with

No associations

Rating

To lag or not to lag? does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with To lag or not to lag?, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and To lag or not to lag? will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-483208