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Multi-scale analysis of lead-lag relationships in high-frequency financial markets

Takaki Hayashi and Yuta Koike

Papers from arXiv.org

Abstract: We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at a high-frequency in a non-synchronous manner. The proposed estimation procedure does not require any interpolation processing of the original data and is applicable to quite fine resolution data. The validity of the proposed estimators is shown under the continuous-time framework developed in our previous work Hayashi and Koike (2016). An empirical application shows promising results of the proposed approach.

New Economics Papers: this item is included in nep-ecm and nep-mst
Date: 2017-08, Revised 2018-02
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