Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
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DOI：
10.1137/18m1166079
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发表时间：
2016-12
期刊：
影响因子：
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通讯作者：
Takaki Hayashi;Yuta Koike
中科院分区：
文献类型：
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作者：
Takaki Hayashi;Yuta Koike
我们提出了一个新的框架来研究两种金融资产之间的超前-滞后关系。我们的框架弥补了基于布朗运动的连续时间建模和现有的基于离散时间模型的超前滞后分析小波方法之间的差距，使我们能够分析超前滞后效应的多尺度结构。我们还提出了一种统计方法，用于在所提出的框架中逐级分析超前滞后效应，并开发了一种适用于包括随机波动和不规则抽样在内的情况的渐近理论。最后，我们报告了几个数值实验来证明我们的框架在实践中是如何工作的。
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 multi-scale 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.