发帖
雷达卡
英文标题：
《Wavelet-based methods for high-frequency lead-lag analysis》
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作者：
Takaki Hayashi, Yuta Koike
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最新提交年份：
2018
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英文摘要：
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 motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multi-scale structure of lead-lag effects. We also present a statistical methodology for the scale-by-scale analysis of lead-lag effects in the proposed framework and develop an asymptotic theory applicable to a situation including stochastic volatilities and irregular sampling. Finally, we report several numerical experiments to demonstrate how our framework works in practice.
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中文摘要：
我们提出了一个新的框架来研究两种金融资产之间的超前-滞后关系。我们的框架弥补了基于布朗运动的连续时间建模和基于离散时间模型的超前滞后分析的现有小波方法之间的差距，并使我们能够分析超前滞后效应的多尺度结构。我们还提出了一种在所提出的框架中对超前滞后效应进行逐级分析的统计方法，并发展了一种适用于随机波动和不规则抽样情况的渐近理论。最后，我们报告了几个数值实验，以证明我们的框架在实践中是如何工作的。
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分类信息：
一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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