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Integer-valued Lévy processes and low latency financial econometrics

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Author Info

  • Ole E. Barndorff-Nielsen

    ()
    (The T.N. Thiele Centre for Mathematics in Natural Science, Department of Mathematical Sciences, University of Aarhus, and CREATES)

  • David G. Pollard

    ()
    (AHL Research, Man Research Laboratory)

  • Neil Shephard

    ()
    (Oxford-Man Institute, University of Oxford)

Abstract

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.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2010-66.

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Length: 34
Date of creation: 23 Sep 2010
Date of revision:
Handle: RePEc:aah:create:2010-66

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: futures markets; high frequency econometrics; low latency data; negative binomial; Skellam; tempered stable;

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  1. Neil Shephard & Ole E. Barndorff-Nielsen, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Series Working Papers 2006-W03, University of Oxford, Department of Economics.
  2. repec:oxf:wpaper:264 is not listed on IDEAS
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Cited by:
  1. Siem Jan Koopman & Rutger Lit & André Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute.
  2. Paul Doukhan, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 21(3), pages 447-450, September.

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