Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model

C-Tier

Journal: Journal of Futures Markets

Year: 2017

Volume: 37

Issue: 3

Pages: 260-285

Authors (2)

José Da Fonseca (Auckland University of Technol...) Riadh Zaatour (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count