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Integer-valued Lévy processes and low latency financial econometrics

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Ole E. Barndorff-Nielsen
  • David G. Pollard, Pollards Et Filles Ltd, United Kingdom
  • Neil Shephard, Department of Economics, University of Oxford, United Kingdom
Original languageEnglish
JournalQuantitative Finance
Volume12
Issue4
Pages (from-to)587-605
Number of pages19
ISSN1469-7688
DOIs
Publication statusPublished - 2012

    Research areas

  • futures markets, high frequency econometrics, low latency data, negative binomial, Skellam, tempered stable

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