Download or read book Inference for Time-Varying Lead-Lag Relationships from Ultra High Frequency Data written by Yuta Koike and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new approach for modeling lead-lag relationships in high frequency financial markets is proposed. The model is accommodated to non-synchronous trading and market microstructure noise as well as intraday variations of lead-lag relationships, which are essential for empirical applications. A simple statistical methodology for analyzing the proposed model is presented as well. The methodology is illustrated by an empirical study to detect lead-lag relationships between the S&P 500 index and its two derivative products.