By introducing moving time window method, we transform the lead–lag dynamics into a series of asymmetric lagged correlation matrices. Dynamic lead–lag structures are uncovered in the form of temporal network structures. We find that the size of lead–lag group experienced a rapid drop during ...
The aim of this paper is to develop a multi-asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead–lag relationship as well as the correlation between the assets within this framework. We compute several statistical quantities and the...
Econometric inference on such model provides: (i) a unified statistical test for the presence of lead-lag correlations in the latent price process and for the existence of a multi-asset price formation mechanism; (ii) separate estimation of contemporaneous and lagged dependencies; (iii) an ...
Wavelet cross-correlation is simply a scale-localized version of the usual cross-correlation between two signals. In cross-correlation, you determine the similarity between two sequences by shifting one relative to the other, multiplying the shifted sequences element by element and summing the result...
Measuring the distortion undergone by the series provides a delay estimator.The proposed method is compared to an alternative delay estimation approach based on convention- al tools such as linear transfer functions and correlation analysis. Two pairs of series have been in- vestigated. One pair is...
The PDO led the AMO by 19-21 years (with a correlation coefficient of 0.71, whereas the correlation coefficient was 0.84 when the AMO led the PDO by 16-18 years). These results support a previous understanding that EATs positively correlate with the AMO, and imply that the observed East ...
a以上假类员工必须提交相关证明 A above vacation kind of staff must submit the correlation proof[translate] a这事中国的传统节日 This matter China's traditional holiday[translate] aTse (2006) examines the lead-lag relationship between the spot index and futures price of the Nikkei Stock Average. Us...
We can also normalize the contrast to have an unbiased estimation of the cross correlation function rho for different lags. In theory this function should be a Dirac centered around the lead_lag parameter with ρ(lead_lag) = 0.8 and 0 elsewhere....
We quantify the lead–lag relation based on the cross-correlation function from which two different measures are extracted; the lead–lag ratio (LLR) based on the whole cross-correlation function (Huth and Abergel, 2014), and the lead–lag time (LLT) defined as the point where the absolute...
A Dynamic Correlation Approach of the Swiss Tourism Income Lead / lag analysis shows that the two cyclical components are roughly synchronized. Simulations via a VAR model show that the maximum effect of 1% GDP ... C Leon,B Eeckels - 《Mpra Paper》 被引量: 21发表: 2009年 An analysis of...