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...