25 citations · 89 across the 33 of their papers we have counts for
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stat.ME2017★ 3 cited
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…
stat.ME2016
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…