High frequency analysis of lead-lag relationships between financial markets

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Abstract

High frequency data are often observed at irregular intervals, which complicates the analysis of lead-lag relationships between financial markets. Frequently, estimators have been used that are based on observations at regular intervals, which are adapted to the irregular observations case by ignoring some observations and imputing others. In this paper we propose an estimator that avoids imputation and uses all available transactions to calculate (cross) covariances. This creates the possibility to analyze lead-lag relationships at arbitrarily high frequencies without additional imputation bias, as long as weak identifiability conditions are satisfied. We also provide an empirical application to the lead-lag relationship between the SP500 index and futures written on it.
Original languageEnglish
PublisherUnknown Publisher
Number of pages28
Volume1995-34
Publication statusPublished - 1995

Publication series

NameCentER Discussion Paper
Volume1995-34

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Frequency analysis
Financial markets
Lead-lag relationship
Estimator
Imputation
High-frequency data
Identifiability

Keywords

  • Financial Markets
  • finance

Cite this

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title = "High frequency analysis of lead-lag relationships between financial markets",
abstract = "High frequency data are often observed at irregular intervals, which complicates the analysis of lead-lag relationships between financial markets. Frequently, estimators have been used that are based on observations at regular intervals, which are adapted to the irregular observations case by ignoring some observations and imputing others. In this paper we propose an estimator that avoids imputation and uses all available transactions to calculate (cross) covariances. This creates the possibility to analyze lead-lag relationships at arbitrarily high frequencies without additional imputation bias, as long as weak identifiability conditions are satisfied. We also provide an empirical application to the lead-lag relationship between the SP500 index and futures written on it.",
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author = "{de Jong}, F.C.J.M. and T.E. Nijman",
note = "Pagination: 28",
year = "1995",
language = "English",
volume = "1995-34",
series = "CentER Discussion Paper",
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High frequency analysis of lead-lag relationships between financial markets. / de Jong, F.C.J.M.; Nijman, T.E.

Unknown Publisher, 1995. (CentER Discussion Paper; Vol. 1995-34).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - High frequency analysis of lead-lag relationships between financial markets

AU - de Jong, F.C.J.M.

AU - Nijman, T.E.

N1 - Pagination: 28

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N2 - High frequency data are often observed at irregular intervals, which complicates the analysis of lead-lag relationships between financial markets. Frequently, estimators have been used that are based on observations at regular intervals, which are adapted to the irregular observations case by ignoring some observations and imputing others. In this paper we propose an estimator that avoids imputation and uses all available transactions to calculate (cross) covariances. This creates the possibility to analyze lead-lag relationships at arbitrarily high frequencies without additional imputation bias, as long as weak identifiability conditions are satisfied. We also provide an empirical application to the lead-lag relationship between the SP500 index and futures written on it.

AB - High frequency data are often observed at irregular intervals, which complicates the analysis of lead-lag relationships between financial markets. Frequently, estimators have been used that are based on observations at regular intervals, which are adapted to the irregular observations case by ignoring some observations and imputing others. In this paper we propose an estimator that avoids imputation and uses all available transactions to calculate (cross) covariances. This creates the possibility to analyze lead-lag relationships at arbitrarily high frequencies without additional imputation bias, as long as weak identifiability conditions are satisfied. We also provide an empirical application to the lead-lag relationship between the SP500 index and futures written on it.

KW - Financial Markets

KW - finance

M3 - Discussion paper

VL - 1995-34

T3 - CentER Discussion Paper

BT - High frequency analysis of lead-lag relationships between financial markets

PB - Unknown Publisher

ER -