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Integer-valued Lévy processes and low latency financial econometrics

  • Ole E. Barndorff-Nielsen
  • David G. Pollard
  • Neil Shephard

Motivated by features of low latency data in financial econometrics we study in detail integer-valued 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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Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

Volume (Year): 12 (2012)
Issue (Month): 4 (January)
Pages: 587-605

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Handle: RePEc:taf:quantf:v:12:y:2012:i:4:p:587-605
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  1. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
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