Estimation of the lead-lag parameter from non-synchronous data

20 Mar 2013M. HoffmannM. RosenbaumN. Yoshida

We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $\vartheta\in \mathbb{R}$, the process $(X_t,Y_{t+\vartheta})$ is a semi-martingale with respect to a certain filtration... (read more)

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