Research output: Working paper › Research
Integer-valued Lévy processes and low latency financial econometrics. / Barndorff-Nielsen, Ole; Pollard, David G.; Shephard, Neil.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.Research output: Working paper › Research
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TY - UNPB
T1 - Integer-valued Lévy processes and low latency financial econometrics
AU - Barndorff-Nielsen, Ole
AU - Pollard, David G.
AU - Shephard, Neil
PY - 2010
Y1 - 2010
N2 - 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
AB - 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
M3 - Working paper
BT - Integer-valued Lévy processes and low latency financial econometrics
PB - Institut for Økonomi, Aarhus Universitet
CY - Aarhus
ER -