Wavelet analysis of the co-movement and lead–lag effect among multi-markets
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DOI: 10.1016/j.physa.2018.08.102
Abstract: Recent literature draws attention to the relationship of some financial markets, in particular, both the co-movement and the lead–lag effect. This paper examines the weekly frequency market indices of Japan, Singapore, Hong Kong and China… read more here.
Keywords: lag effect; lead lag; movement; movement lead ... See more keywords