Supplemental Material: Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models
Published: 15 September 2023| Version 1 | DOI: 10.17632/wpszpcftg2.1
Contributors:
Yichi Zhang, , , 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