Inference for Time-Varying Lead-Lag Relationships from Ultra High Frequency Data

DOI DOI PDF Web Site 研究データあり 被引用文献1件 参考文献74件

書誌事項

公開日
2017
資源種別
journal article
DOI
  • 10.2139/ssrn.2924301
  • 10.1007/s42081-021-00106-2
公開者
Elsevier BV

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<jats:title>Abstract</jats:title><jats:p>A new approach for modeling lead–lag relationships in high-frequency financial markets is proposed. The model accommodates non-synchronous trading and market microstructure noise as well as intraday variations of lead–lag relationships, which are essential for empirical applications. A simple statistical methodology for analyzing the proposed model is presented, as well. The methodology is illustrated by an empirical study to detect lead–lag relationships between the S&P 500 index and its two derivative products.</jats:p>

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