@article{36f624865db04397b270f651be1a6216,
title = "Wavelet-based methods for high-frequency lead-lag analysis∗ ",
abstract = "We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multiscale structure of lead-lag effects. We also present a statistical methodology for the scale-by-scale analysis of lead-lag effects in the proposed framework and develop an asymptotic theory applicable to a situation including stochastic volatilities and irregular sampling. Finally, we report several numerical experiments to demonstrate how our framework works in practice.",
keywords = "Brownian motion, High-frequency data, Lead-lag effect, Multiscale modeling, Wavelet",
author = "Takaki Hayashi and Yuta Koike",
note = "Funding Information: This work was supported by the Research Center for Quantitative Finance, Tokyo Metropolitan University. The first author{\textquoteright}s research was supported by JSPS KAKENHI grants JP16K03601 and JP17H01100. The second author{\textquoteright}s research was supported by JST, CREST, and JSPS KAKENHI grant JP16K17105. We thank the two anonymous referees for their careful reading of a previous version of the paper and valuable comments to it. Publisher Copyright: {\textcopyright} 2018 Society for Industrial and Applied Mathematics.",
year = "2018",
doi = "10.1137/18M1166079",
language = "English",
volume = "9",
pages = "1208--1248",
journal = "SIAM Journal on Financial Mathematics",
issn = "1945-497X",
publisher = "Society for Industrial and Applied Mathematics Publications",
number = "4",
}