68 citations · 324 across the 23 of their papers we have counts for
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q-fin.ST2019★ 19 cited
Lead-lag Relationships in Foreign Exchange Markets
Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski +1
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlati…
q-fin.ST2019★ 10 cited
Correlation Patterns in Foreign Exchange Markets
Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski +1
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationsh…