Wavelet-based methods for high-frequency lead-lag analysis

Takaki Hayashi, Yuta Koike

研究成果: Article査読

2 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)1208-1248
ページ数41
ジャーナルSIAM Journal on Financial Mathematics
9
4
DOI
出版ステータスPublished - 2018

ASJC Scopus subject areas

  • Numerical Analysis
  • Finance
  • Applied Mathematics

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