Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353)
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scientific article; zbMATH DE number 7447498
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference for time-varying lead-lag relationships from ultra-high-frequency data |
scientific article; zbMATH DE number 7447498 |
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Inference for time-varying lead-lag relationships from ultra-high-frequency data (English)
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17 December 2021
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high-frequency data
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lead-lag relationship
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microstructure noise
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non-synchronous observations
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semimartingale
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stable convergence
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0.8676746
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0.8401311
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0.8316679
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0.8204694
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0.8178056
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0.81402624
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