Integer-valued Lévy processes and low latency financial econometrics

Publikation: Working paperForskning

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  • Ole Barndorff-Nielsen
  • David G. Pollard, AHL Research, Man Research Laboratory, Storbritannien
  • Neil Shephard, University of Oxford, Storbritannien
  • Institut for Økonomi
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.futures markets, high frequency econometrics, low latency data, negative binomial, Skellam, tempered stable
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider34
StatusUdgivet - 2010

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