Integer-valued Lévy processes and low latency financial econometrics
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
- Ole E. Barndorff-Nielsen
- David G. Pollard, Pollards Et Filles Ltd, United Kingdom
- Neil Shephard, University of Oxford, United Kingdom
| Original language | English |
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| Journal | Quantitative Finance |
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| Volume | 12 |
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| Issue | 4 |
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| Pages (from-to) | 587-605 |
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| Number of pages | 19 |
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| ISSN | 1469-7688 |
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| DOIs | |
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| Publication status | Published - 2012 |
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- futures markets, high frequency econometrics, low latency data, negative binomial, Skellam, tempered stable
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ID: 44345401
