Inference for time-varying lead–lag relationships from ultra-high-frequency data
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AbstractA 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.
2017 ◽
Vol 200
(1)
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pp. 79-103
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2020 ◽
Vol 13
(12)
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pp. 309
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Keyword(s):
2019 ◽
Vol 211
(1)
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pp. 176-205
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