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

Yichi Zhang et al.

Applied Mathematical Finance2025https://doi.org/10.1080/1350486x.2025.2544272article
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https://doi.org/https://doi.org/10.1080/1350486x.2025.2544272

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@article{yichi2025,
  title        = {{Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models}},
  author       = {Yichi Zhang et al.},
  journal      = {Applied Mathematical Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1080/1350486x.2025.2544272},
}

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

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0.50

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F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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