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An Analysis of Lead-Lag Relationship Between Stock Returns Using Spectral Methods
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This paper examines the relationship between BSE Sensex and three other developed markets in the frequency domain. Cross-spectral methods, which are important i
On the Lead-lag Relation Between Stock Returns of Large and Small Firms
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Empirical analysis of the Intraday Lead-Lag Relationship between option- and underlying stock-market
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The Journal of Finance
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Publishes across all the major fields of financial research. The most widely cited academic journal on finance and one of the most widely cited journals in econ
Commodities
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Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures marke