Supplemental Material for Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models

Published: 16 May 2023| Version 2 | DOI: 10.17632/2djzdjvn96.2
Contributors:
Yichi Zhang, Mihai Cucuringu, Alexander Shestopaloff, Stefan Zohren

Description

The supplemental material includes the equity, ETF, and futures data sets' performance metrics for the entire grid - rescaled to target volatility.

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Institutions

  • University of Oxford

Categories

Finance

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