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• W2560754446 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." @default.
• W2560754446 created "2016-12-16" @default.
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• W2560754446 date "2018-01-01" @default.
• W2560754446 modified "2023-10-14" @default.
• W2560754446 title "Wavelet-Based Methods for High-Frequency Lead-Lag Analysis" @default.
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• W2560754446 doi "https://doi.org/10.1137/18m1166079" @default.
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