Department of Economics and Business Economics

Integer-valued Lévy processes and low latency financial econometrics

Research output: Working paperResearch


  • Rp10 66

    Final published version, 437 KB, PDF document

  • Ole Barndorff-Nielsen
  • David G. Pollard, AHL Research, Man Research Laboratory, United Kingdom
  • Neil Shephard, University of Oxford, United Kingdom
  • School of Economics and Management
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
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages34
Publication statusPublished - 2010

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 22014889