3 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.TR2011★ 3 cited
High Frequency Lead/lag Relationships - Empirical facts
Nicolas Huth, Frédéric Abergel
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomen…
q-fin.ST2009★ 1 cited
Financial bubbles analysis with a cross-sectional estimator
Frederic Abergel, Nicolas Huth, Ioane Muni Toke
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical t…