Title: Multi-scale analysis of lead-lag relationships in high-frequency financial markets,
Abstract: We propose a novel estimation procedure for scale-by-scale lead-lag
relationships of financial assets observed at a high-frequency in a
non-synchronous manner. The proposed estimation procedure does not require any
interpolation processing of the original data and is applicable to quite fine
resolution data. The validity of the proposed estimators is shown under the
continuous-time framework developed in our previous work Hayashi and Koike
(2016). An empirical application shows promising results of the proposed
approach.