4 papers
A Modelling Framework for Regression with Collinearity
Takeaki Kariya, Hiroshi Kurata, Takaki Hayashi
This study addresses a fundamental, yet overlooked, gap between standard theory and empirical modelling practices in the OLS regression model $\boldsymbol{y}=\boldsymbol{Xβ}+\bolds…
No arbitrage and lead-lag relationships
Takaki Hayashi, Yuta Koike
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial eco…
Multi-scale analysis of lead-lag relationships in high-frequency financial markets
Takaki Hayashi, Yuta Koike
We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at high-frequency in a non-synchronous manner. The proposed estimatio…
Wavelet-based methods for high-frequency lead-lag analysis
Takaki Hayashi, Yuta Koike
We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian moti…