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Wavelet-Based Methods for High-Frequency Lead-Lag Analysis - MaRDI portal

Wavelet-Based Methods for High-Frequency Lead-Lag Analysis (Q3122063)

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Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
scientific article

    Statements

    title
    Wavelet-Based Methods for High-Frequency Lead-Lag Analysis (English)
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    author
    Takaki Hayashi
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    Yuta Koike
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    publication date
    20 March 2019
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    zbMATH Keywords
    Brownian motion
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    high-frequency data
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    lead-lag effect
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    multiscale modeling
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    wavelet
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    cites work
    Q5495335
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    Q4389634
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    Volatility is rough
    0 references
    Q2768756
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    Q3692527
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    Q3084090
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    Q4778955
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    Q3634482
    0 references
    Q4488348
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    Q4435813
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    Q4340161
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    Q4340096
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    Asymptotic Statistics
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    Q4256211
    0 references

    Identifiers

    DOI
    10.1137/18M1166079
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    Mathematics Subject Classification ID
    91G60
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    65T60
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    62P05
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    62M10
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    zbMATH DE Number
    7039284
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    arXiv ID
    1612.01232
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    Wikidata QID
    Q128746673
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