Cross-correlating wavelet coefficients with applications to high-frequency financial time series
(2012) Journal of Applied Statistics — Vol. 39, n° 6, p. 1363-1379 (2012)
Files
pdfdocument.pdf
Restricted Access - Adobe PDF
- 224.45 KB
Details
- Authors
- Abstract
- This paper uses a new concept in wavelet analysis to explore a financial transaction data set including returns, durations, and volume. The concept is based on a decomposition of the Allan covariance of two series into cross-covariances of wavelet coefficients, which allows a natural interpretation of cross-correlations in terms of frequencies. It is applied to financial transaction data including returns, durations between transactions, and trading volume. At high frequencies, we find significant spillover from durations to volume and a strong contemporaneous relation between durations and returns, whereas a strong causality between volume and volatility exists at various frequencies.
- Affiliations
Citations
Hafner, C. (2012). Cross-correlating wavelet coefficients with applications to high-frequency financial time series. Journal of Applied Statistics, 39(6), 1363-1379. https://doi.org/10.1080/02664763.2011.649716 (Original work published 2012)