Integer-valued Lévy processes and low latency financial econometrics

Motivated by features of low latency data in financial econometrics we study in detail integervalued Lévy processes as the basis of price processes for high frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.

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Year of publication:	2010-09-23
Authors:	Barndorff-Nielsen, Ole E. ; Pollard, David G. ; Shephard, Neil
Institutions:	School of Economics and Management, University of Aarhus
Subject:	futures markets \| high frequency econometrics \| low latency data \| negative binomial \| Skellam \| tempered stable

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	3 pages long
Classification:	C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008677231