25 citations · 89 across the 33 of their papers we have counts for
4 papers · 1 filter
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…
Oracle inequalities for sign constrained generalized linear models
Yuta Koike, Yuta Tanoue
High-dimensional data have recently been analyzed because of data collection technology evolution. Although many methods have been developed to gain sparse recovery in the past two…
Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data
Yuta Koike
This paper establishes an upper bound for the Kolmogorov distance between the maximum of a high-dimensional vector of smooth Wiener functionals and the maximum of a Gaussian random…
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…