Inference for time-varying lead-lag relationships from ultra-high-frequency data

DOI10.1007/s42081-021-00106-2zbMath1477.62296OpenAlexW3128413061MaRDI QIDQ825353

Yuta Koike

Publication date: 17 December 2021

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42081-021-00106-2

zbMATH Keywords

high-frequency datasemimartingalestable convergencemicrostructure noisenon-synchronous observationslead-lag relationship

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items (2)

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