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Limit Laws in Transaction-Level Asset Price Models

Alexander Aue (), Lajos Horvath, Clifford Hurvich and Philippe Soulier ()
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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

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

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