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Integer-valued Lévy processes and low latency financial econometrics

Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil - School of Economics and Management, University of Aarhus - 2010

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...

Persistent link: https://www.econbiz.de/10008677231

Discrete-valued Levy processes and low latency financial econometrics

Shephard, Neil; Pollard, David G.; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2010

Motivated by features of low latency data in finance we study in detail discrete-valued Levy processes as the basis of price processes for high frequency econometrics. An important case of this is a Skellam process, which is the difference of two independent Poisson processes. We propose a...

Persistent link: https://www.econbiz.de/10008462339

Parametric inference for discretely sampled stochastic differential equations

Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008

A review is given of parametric estimation methods for discretely sampled multivariate diffusion processes. The main focus is on estimating functions and asymptotic results. Maximum likelihood estimation is briefly considered, but the emphasis is on computationally less demanding martingale...

Persistent link: https://www.econbiz.de/10005440043

Efficient estimation for ergodic diffusions sampled at high frequency

Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008

A general theory of efficient estimation for ergodic diffusions sampled at high fre- quency is presented. High …

Persistent link: https://www.econbiz.de/10005114125

Optimal inference in dynamic models with conditional moment restrictions

Christensen, Bent Jesper; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008

moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is … and the associated asymptotic distribution theory for general cases including non-martingale estimating functions and … general history dependence. Examples involving time-varying conditional volatility and stochastic volatility are offered. …

Persistent link: https://www.econbiz.de/10005114126