Department of Economics and Business Economics

Integer-valued Lévy processes and low latency financial econometrics

Research output: Working paperResearch

Standard

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 paperResearch

Harvard

Barndorff-Nielsen, O, Pollard, DG & Shephard, N 2010 'Integer-valued Lévy processes and low latency financial econometrics' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Barndorff-Nielsen, O., Pollard, D. G., & Shephard, N. (2010). Integer-valued Lévy processes and low latency financial econometrics. Institut for Økonomi, Aarhus Universitet.

CBE

Barndorff-Nielsen O, Pollard DG, Shephard N. 2010. Integer-valued Lévy processes and low latency financial econometrics. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Barndorff-Nielsen, Ole, David G. Pollard and Neil Shephard Integer-valued Lévy processes and low latency financial econometrics. Aarhus: Institut for Økonomi, Aarhus Universitet. 2010., 34 p.

Vancouver

Barndorff-Nielsen O, Pollard DG, Shephard N. Integer-valued Lévy processes and low latency financial econometrics. Aarhus: Institut for Økonomi, Aarhus Universitet. 2010.

Author

Barndorff-Nielsen, Ole ; Pollard, David G. ; Shephard, Neil. / Integer-valued Lévy processes and low latency financial econometrics. Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

Bibtex

@techreport{0d8fa970cae311df8cb9000ea68e967b,
title = "Integer-valued L{\'e}vy processes and low latency financial econometrics",
abstract = "Motivated by features of low latency data in financial econometrics we study in detail integervalued L{\'e}vy 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",
author = "Ole Barndorff-Nielsen and Pollard, {David G.} and Neil Shephard",
year = "2010",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

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 -