High frequency analysis of lead-lag relationships between financial markets

C-Tier

Journal: Journal of Empirical Finance

Year: 1997

Volume: 4

Issue: 2-3

Pages: 259-277

Authors (2)

de Jong, Frank (Universiteit van Tilburg) Nijman, Theo (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