{"@context":{"@vocab":"https://cir.nii.ac.jp/schema/1.0/","rdfs":"http://www.w3.org/2000/01/rdf-schema#","dc":"http://purl.org/dc/elements/1.1/","dcterms":"http://purl.org/dc/terms/","foaf":"http://xmlns.com/foaf/0.1/","prism":"http://prismstandard.org/namespaces/basic/2.0/","cinii":"http://ci.nii.ac.jp/ns/1.0/","datacite":"https://schema.datacite.org/meta/kernel-4/","ndl":"http://ndl.go.jp/dcndl/terms/","jpcoar":"https://github.com/JPCOAR/schema/blob/master/2.0/"},"@id":"https://cir.nii.ac.jp/crid/1361137045142190208.json","@type":"Article","productIdentifier":[{"identifier":{"@type":"DOI","@value":"10.2139/ssrn.2924301"}},{"identifier":{"@type":"DOI","@value":"10.1007/s42081-021-00106-2"}},{"identifier":{"@type":"URI","@value":"https://link.springer.com/content/pdf/10.1007/s42081-021-00106-2.pdf"}},{"identifier":{"@type":"URI","@value":"https://link.springer.com/article/10.1007/s42081-021-00106-2/fulltext.html"}},{"identifier":{"@type":"NAID","@value":"210000166878"}}],"resourceType":"学術雑誌論文(journal article)","dc:title":[{"@value":"Inference for Time-Varying Lead-Lag Relationships from Ultra High Frequency Data"}],"description":[{"type":"abstract","notation":[{"@value":"<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>"}]}],"creator":[{"@id":"https://cir.nii.ac.jp/crid/1420282801202108800","@type":"Researcher","personIdentifier":[{"@type":"KAKEN_RESEARCHERS","@value":"80745290"},{"@type":"NRID","@value":"1000080745290"},{"@type":"NRID","@value":"9000415176463"},{"@type":"NRID","@value":"9000415160511"}],"foaf:name":[{"@value":"Yuta Koike"}]}],"publication":{"publicationIdentifier":[{"@type":"EISSN","@value":"15565068"},{"@type":"PISSN","@value":"25208756"},{"@type":"EISSN","@value":"25208764"}],"prism:publicationName":[{"@value":"SSRN Electronic Journal"}],"dc:publisher":[{"@value":"Elsevier BV"}],"prism:publicationDate":"2017","prism:volume":"4","prism:number":"1","prism:startingPage":"643","prism:endingPage":"696"},"reviewed":"false","url":[{"@id":"https://link.springer.com/content/pdf/10.1007/s42081-021-00106-2.pdf"},{"@id":"https://link.springer.com/article/10.1007/s42081-021-00106-2/fulltext.html"}],"createdAt":"2017-03-08","modifiedAt":"2019-05-15","project":[{"@id":"https://cir.nii.ac.jp/crid/1040000781954114176","@type":"Project","projectIdentifier":[{"@type":"KAKEN","@value":"17H01100"},{"@type":"JGN","@value":"JP17H01100"},{"@type":"URI","@value":"https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-17H01100/"}],"notation":[{"@language":"ja","@value":"確率微分方程式モデルに基づく数理・データ科学とシミュレーション科学の融合的研究"},{"@language":"en","@value":"Interdisciplinary research in mathematical/data science and simulation science for stochastic differential equation models"}]},{"@id":"https://cir.nii.ac.jp/crid/1040282256968975872","@type":"Project","projectIdentifier":[{"@type":"KAKEN","@value":"18H00836"},{"@type":"JGN","@value":"JP18H00836"},{"@type":"URI","@value":"https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-18H00836/"}],"notation":[{"@language":"ja","@value":"金融・保険分野におけるリスク管理のための統計的手法の展開"},{"@language":"en","@value":"New developments of statistical methods for risk management in finance and insurance"}]},{"@id":"https://cir.nii.ac.jp/crid/1040282256998349568","@type":"Project","projectIdentifier":[{"@type":"KAKEN","@value":"19K13668"},{"@type":"JGN","@value":"JP19K13668"},{"@type":"URI","@value":"https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-19K13668/"}],"notation":[{"@language":"ja","@value":"高次元高頻度データの統計解析"},{"@language":"en","@value":"Statistical analysis of high-dimensional high-frequency data"}]}],"relatedProduct":[{"@id":"https://cir.nii.ac.jp/crid/1360005517300309120","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"No arbitrage and lead–lag relationships"}]},{"@id":"https://cir.nii.ac.jp/crid/1360011144583235968","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"A new microstructure noise index"}]},{"@id":"https://cir.nii.ac.jp/crid/1360011144617586944","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Integrated Covariance Estimation using High-frequency Data in the Presence of Noise"}]},{"@id":"https://cir.nii.ac.jp/crid/1360011144750082816","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"High frequency lead/lag relationships — Empirical facts"}]},{"@id":"https://cir.nii.ac.jp/crid/1360011144800503680","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING"}]},{"@id":"https://cir.nii.ac.jp/crid/1360011144886520576","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"A Maximal Inequality and Dependent Strong Laws"}]},{"@id":"https://cir.nii.ac.jp/crid/1360011145042039552","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise"}]},{"@id":"https://cir.nii.ac.jp/crid/1360011146409202048","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Limit theory for moderate deviations from a unit root"}]},{"@id":"https://cir.nii.ac.jp/crid/1360292619285588736","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous"}]},{"@id":"https://cir.nii.ac.jp/crid/1360292619367301632","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Limit Theorems for Stochastic Processes"}]},{"@id":"https://cir.nii.ac.jp/crid/1360292621248661120","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes"}]},{"@id":"https://cir.nii.ac.jp/crid/1360298343801003648","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Martingale Invariance Principles"}]},{"@id":"https://cir.nii.ac.jp/crid/1360565170514112896","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Estimation of the lead-lag parameter from non-synchronous data"}]},{"@id":"https://cir.nii.ac.jp/crid/1360567182462661120","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling"}]},{"@id":"https://cir.nii.ac.jp/crid/1360567186063780224","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Wavelet-Based Methods for High-Frequency Lead-Lag Analysis"}]},{"@id":"https://cir.nii.ac.jp/crid/1360574093558931456","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Subsampling high frequency data"}]},{"@id":"https://cir.nii.ac.jp/crid/1360574094353982592","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Nonsynchronous covariation process and limit theorems"}]},{"@id":"https://cir.nii.ac.jp/crid/1360574094559114624","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Integrated volatility and round-off error"}]},{"@id":"https://cir.nii.ac.jp/crid/1360574095411692160","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Estimation of Integrated Covariances in the Simultaneous Presence of Nonsynchronicity, Microstructure Noise and Jumps"}]},{"@id":"https://cir.nii.ac.jp/crid/1360574095598722944","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Estimation and Testing for Dependence in Market Microstructure Noise"}]},{"@id":"https://cir.nii.ac.jp/crid/1360574096474787712","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"First- and second-level agenda setting in the Twittersphere: An application to the Italian political debate"}]},{"@id":"https://cir.nii.ac.jp/crid/1360848660752865664","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Power Variations and Testing for Co‐Jumps: The Small Noise Approach"}]},{"@id":"https://cir.nii.ac.jp/crid/1360855570014059264","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Low-latency trading"}]},{"@id":"https://cir.nii.ac.jp/crid/1360855570662046080","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"On Tail Probabilities for Martingales"}]},{"@id":"https://cir.nii.ac.jp/crid/1360855570693700352","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH"}]},{"@id":"https://cir.nii.ac.jp/crid/1360855570910612992","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping"}]},{"@id":"https://cir.nii.ac.jp/crid/1360855571324276864","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method"}]},{"@id":"https://cir.nii.ac.jp/crid/1361137044937712000","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Comment"}]},{"@id":"https://cir.nii.ac.jp/crid/1361137045667851136","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Multiple-limit trades: empirical facts and application to lead–lag measures"}]},{"@id":"https://cir.nii.ac.jp/crid/1361418519362359424","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Inference from high-frequency data: A subsampling approach"}]},{"@id":"https://cir.nii.ac.jp/crid/1361418519773412608","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Fact or friction: Jumps at ultra high frequency"}]},{"@id":"https://cir.nii.ac.jp/crid/1361418520869427968","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"High-Frequency Financial Econometrics"}]},{"@id":"https://cir.nii.ac.jp/crid/1361418521393735936","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Some limit theorems for Hawkes processes and application to financial statistics"}]},{"@id":"https://cir.nii.ac.jp/crid/1361699994253394688","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index"}]},{"@id":"https://cir.nii.ac.jp/crid/1361699994553737856","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Intraday Price Discovery in the DJIA Index Markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1361699994676829952","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Towards a unified asymptotic theory for autoregression"}]},{"@id":"https://cir.nii.ac.jp/crid/1361699995666712320","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model"}]},{"@id":"https://cir.nii.ac.jp/crid/1361699995937421568","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Maximal inequalities and laws of large numbers for -mixingale arrays"}]},{"@id":"https://cir.nii.ac.jp/crid/1361981468521517440","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading"}]},{"@id":"https://cir.nii.ac.jp/crid/1361981469267496448","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Econometrics of co-jumps in high-frequency data with noise"}]},{"@id":"https://cir.nii.ac.jp/crid/1361981469669875072","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"On the limiting spectral distribution of the covariance matrices of time-lagged processes"}]},{"@id":"https://cir.nii.ac.jp/crid/1361981470516373632","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Handbook of Brownian Motion - Facts and Formulae"}]},{"@id":"https://cir.nii.ac.jp/crid/1361981470879501184","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance"}]},{"@id":"https://cir.nii.ac.jp/crid/1362262943600653312","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model"}]},{"@id":"https://cir.nii.ac.jp/crid/1362262944118112640","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Statistical Properties of Microstructure Noise"}]},{"@id":"https://cir.nii.ac.jp/crid/1362544418641905152","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Realized Variance and Market Microstructure Noise"}]},{"@id":"https://cir.nii.ac.jp/crid/1362544418682207104","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Intraday periodicity and volatility persistence in financial markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1362544420737087104","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading"}]},{"@id":"https://cir.nii.ac.jp/crid/1362544421015064960","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Asymptotics in Statistics"}]},{"@id":"https://cir.nii.ac.jp/crid/1362544421420435968","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Spectral Estimation of Covolatility from Noisy Observations Using Local Weights"}]},{"@id":"https://cir.nii.ac.jp/crid/1362825893293065600","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Model checks for the volatility under microstructure noise"}]},{"@id":"https://cir.nii.ac.jp/crid/1362825894429538176","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency"}]},{"@id":"https://cir.nii.ac.jp/crid/1362825894720809984","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Tail Wags Dog: Intraday Price Discovery in VIX Markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1362825895153311360","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence"}]},{"@id":"https://cir.nii.ac.jp/crid/1363107368499581440","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Convergence of Probability Measures"}]},{"@id":"https://cir.nii.ac.jp/crid/1363107369737252608","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Estimating the integrated volatility with tick observations"}]},{"@id":"https://cir.nii.ac.jp/crid/1363107370227933312","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading"}]},{"@id":"https://cir.nii.ac.jp/crid/1363388843696913024","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Rounding Errors and Volatility Estimation"}]},{"@id":"https://cir.nii.ac.jp/crid/1363388843958613120","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Large Sample Confidence Regions Based on Subsamples under Minimal Assumptions"}]},{"@id":"https://cir.nii.ac.jp/crid/1363388845322284544","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Intraday price discovery in fragmented markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1363670318383209728","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures"}]},{"@id":"https://cir.nii.ac.jp/crid/1363670320647428608","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Time endogeneity and an optimal weight function in pre-averaging covariance estimation"}]},{"@id":"https://cir.nii.ac.jp/crid/1363670320939183872","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"One Security, Many Markets: Determining the Contributions to Price Discovery"}]},{"@id":"https://cir.nii.ac.jp/crid/1363951793217168384","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Volatility is rough"}]},{"@id":"https://cir.nii.ac.jp/crid/1363951793798106240","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Ratios of Normal Variables and Ratios of Sums of Uniform Variables"}]},{"@id":"https://cir.nii.ac.jp/crid/1363951794068191744","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Estimation and Inference With Weak, Semi-Strong, and Strong Identification"}]},{"@id":"https://cir.nii.ac.jp/crid/1363951795993288576","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Testing the parametric form of the volatility in continuous time diffusion models—a stochastic process approach"}]},{"@id":"https://cir.nii.ac.jp/crid/1364233269060344704","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices"}]},{"@id":"https://cir.nii.ac.jp/crid/1364233269816162176","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"High frequency analysis of lead-lag relationships between financial markets"}]},{"@id":"https://cir.nii.ac.jp/crid/1364233270445764096","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Testing for jumps in a discretely observed process"}]},{"@id":"https://cir.nii.ac.jp/crid/1364233270567789440","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"Discretization of Processes"}]},{"@id":"https://cir.nii.ac.jp/crid/1364233271168120448","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"A CLOSER LOOK AT THE EPPS EFFECT"}]},{"@id":"https://cir.nii.ac.jp/crid/1364233271172399104","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones"}]},{"@id":"https://cir.nii.ac.jp/crid/1390564237990045440","@type":"Article","relationType":["references"],"jpcoar:relatedTitle":[{"@language":"en","@value":"On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect"}]},{"@id":"https://cir.nii.ac.jp/crid/1882555065529539328","@type":"Dataset","relationType":["references"],"jpcoar:relatedTitle":[{"@value":"High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model"}]}],"dataSourceIdentifier":[{"@type":"CROSSREF","@value":"10.2139/ssrn.2924301"},{"@type":"CROSSREF","@value":"10.1007/s42081-021-00106-2"},{"@type":"CIA","@value":"210000166878"},{"@type":"KAKEN","@value":"PRODUCT-23764365"},{"@type":"KAKEN","@value":"PRODUCT-23368764"},{"@type":"KAKEN","@value":"PRODUCT-23748479"},{"@type":"KAKEN","@value":"PRODUCT-24079554"},{"@type":"OPENAIRE","@value":"doi_dedup___::a5f7891b73510fda827fa2108abc5593"},{"@type":"CROSSREF","@value":"10.1016/j.spl.2019.06.006_references_DOI_5GCQUGOnaMk7gcdGH1tqd4Jjqyp"}]}