On the limiting spectral distribution of the covariance matrices of time-lagged processes
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References listed on IDEAS
- de Jong, Frank & Nijman, Theo, 1997.
"High frequency analysis of lead-lag relationships between financial markets,"
Journal of Empirical Finance,
Elsevier, vol. 4(2-3), pages 259-277, June.
- de Jong, F.C.J.M. & Nijman, T.E., 1995. "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper 1995-34, Tilburg University, Center for Economic Research.
- Silverstein, J. W., 1995. "Strong Convergence of the Empirical Distribution of Eigenvalues of Large Dimensional Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 55(2), pages 331-339, November.
- Yin, Y. Q. & Krishnaiah, P. R., 1983. "A limit theorem for the eigenvalues of product of two random matrices," Journal of Multivariate Analysis, Elsevier, vol. 13(4), pages 489-507, December.
- Nijman, T.E. & de Jong, F.C.J.M., 1997. "High frequency analysis of lead-lag relationships between financial markets," Other publications TiSEM f4f406a0-771a-4af2-9364-6, Tilburg University, School of Economics and Management.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Takaki Hayashi & Yuta Koike, 2017. "No arbitrage and lead-lag relationships," Papers 1712.09854, arXiv.org.
- Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Feb 2018.
More about this item
KeywordsEigenvalues of covariance matrices Lagged processes Random matrix theory Time lag estimation Adaptive estimation;
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