We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...

A central limit theorem is stated for a wide class of triangular arrays of nonlinear functionals of the periodogram of a stationary linear sequence. Those functionals may be singular and not-bounded. The proof of this result is based on Bartlett decomposition and an existing counterpart result...