On the limiting spectral distribution of the covariance matrices of time-lagged processes
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Cited by:
- Takaki Hayashi & Yuta Koike, 2017. "No arbitrage and lead-lag relationships," Papers 1712.09854, arXiv.org.
- Gupta, Kartikay & Chatterjee, Niladri, 2020. "Selecting stock pairs for pairs trading while incorporating lead–lag relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
- Hayashi, Takaki & Koike, Yuta, 2019. "No arbitrage and lead–lag relationships," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
- Kartikay Gupta & Niladri Chatterjee, 2020. "Examining Lead-Lag Relationships In-Depth, With Focus On FX Market As Covid-19 Crises Unfolds," Papers 2004.10560, arXiv.org, revised May 2020.
- Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Nov 2018.
- Kohei Chiba, 2019. "Estimation of the lead–lag parameter between two stochastic processes driven by fractional Brownian motions," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 323-357, October.
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Keywords
Eigenvalues of covariance matrices Lagged processes Random matrix theory Time lag estimation Adaptive estimation;Statistics
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