Abstract
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.
Funder
Core Research for Evolutional Science and Technology
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Computational Theory and Mathematics,Statistics and Probability
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