Integer-valued Lévy processes and low latency financial econometrics

Motivated by features of low latency data in financial econometrics we study in detail integer-valued 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.

MoreLess

Year of publication:	2012
Authors:	Barndorff-Nielsen, Ole E. ; Pollard, David G. ; Shephard, Neil
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 12.2012, 4, p. 587-605
Publisher:	Taylor & Francis Journals

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010606798