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Integer-valued Lévy processes and low latency financial econometrics

  • 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)

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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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
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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  1. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
  2. repec:oxf:wpaper:264 is not listed on IDEAS
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