2016/12/05 by Takaki Hayashi, Hayashi, Takaki, Yuta Koike +1
Economics, Econometrics and Finance · #60G15 #62M10 #91B84 #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Economics and business #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1612.01232
openalex publication_date 2016/12/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.