Multi-scale analysis of lead-lag relationships in high-frequency financial markets
Takaki Hayashi,
Yuta Koike
Abstract:We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at high-frequency in a non-synchronous manner. The proposed estimation procedure does not require any interpolation processing of original datasets and is applicable to those with highest time resolution available. Consistency of the proposed estimators is shown under the continuous-time framework that has been developed in our previous work [16]. An empirical application shows promising results of th… Show more
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