Koike, Yuta Inference for time-varying lead-lag relationships from ultra-high-frequency data. (English) Zbl 1477.62296 Jpn. J. Stat. Data Sci. 4, No. 1, 643-696 (2021). MSC: 62P05 60F05 62M10 62M09 PDFBibTeX XMLCite \textit{Y. Koike}, Jpn. J. Stat. Data Sci. 4, No. 1, 643--696 (2021; Zbl 1477.62296) Full Text: DOI
Hayashi, Takaki; Koike, Yuta No arbitrage and lead-lag relationships. (English) Zbl 1457.91358 Stat. Probab. Lett. 154, Article ID 108530, 11 p. (2019). MSC: 91G15 60G44 60H30 PDFBibTeX XMLCite \textit{T. Hayashi} and \textit{Y. Koike}, Stat. Probab. Lett. 154, Article ID 108530, 11 p. (2019; Zbl 1457.91358) Full Text: DOI arXiv
Hayashi, Takaki; Koike, Yuta Wavelet-based methods for high-frequency lead-lag analysis. (English) Zbl 1419.91649 SIAM J. Financ. Math. 9, No. 4, 1208-1248 (2018). MSC: 91G60 65T60 62P05 62M10 PDFBibTeX XMLCite \textit{T. Hayashi} and \textit{Y. Koike}, SIAM J. Financ. Math. 9, No. 4, 1208--1248 (2018; Zbl 1419.91649) Full Text: DOI arXiv
Dao, Thong Minh; McGroarty, Frank; Urquhart, Andrew Ultra-high-frequency lead-lag relationship and information arrival. (English) Zbl 1400.91536 Quant. Finance 18, No. 5, 725-735 (2018). MSC: 91G10 PDFBibTeX XMLCite \textit{T. M. Dao} et al., Quant. Finance 18, No. 5, 725--735 (2018; Zbl 1400.91536) Full Text: DOI
Koike, Yuta On the asymptotic structure of Brownian motions with a small lead-lag effect. (English) Zbl 1395.62043 J. Jpn. Stat. Soc. 47, No. 2, 75-105 (2017). MSC: 62F10 60J65 62F12 PDFBibTeX XMLCite \textit{Y. Koike}, J. Jpn. Stat. Soc. 47, No. 2, 75--105 (2017; Zbl 1395.62043) Full Text: DOI arXiv