EconPapers    
Economics at your fingertips  
 

Limit Laws in Transaction-Level Asset Price Models

Alexander Aue (), Lajos Horvath, Clifford Hurvich and Philippe Soulier ()
Additional contact information
Alexander Aue: Department of Statistics - UC Davis - University of California [Davis] - University of California
Philippe Soulier: MODAL'X - Modélisation aléatoire de Paris X - UPN - Université Paris Nanterre

Post-Print from HAL

Abstract: We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may be different for the two assets. We also allow for asymmetries (leverage effects). We obtain the asymptotic distribution of the log-price process. We also obtain the asymptotic distribution of the ordinary least-squares estimator of the cointegrating parameter based on data sampled from an equally-spaced discretization of calendar time, in the case of weak fractional cointegration. For this same case, we obtain the asymptotic distribution for a tapered estimator under more

Keywords: Point processes; fractional cointegration (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Date: 2014
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00583372v2
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in Econometric Theory, Cambridge University Press (CUP), 2014, FirstView Article pp 1-44. ⟨10.1017/S0266466613000406⟩

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00583372v2/document (application/pdf)

Related works:
Journal Article: LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00583372

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-10-13
Handle: RePEc:hal:journl:hal-00583372