A new approach for modeling lead-lag relationships in high frequency financial markets is proposed. The model is accommodated to non-synchronous trading and mar

The efficient-market hypothesis (EMH) asserts that financial markets are "informationally efficient," i.e. all relevant information will be fully and immediatel

This paper examines the relationship between BSE Sensex and three other developed markets in the frequency domain. Cross-spectral methods, which are important i

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allow