A Pure-Jump Transaction-Level Price Model Yielding Cointegration

DOI10.1198/JBES.2009.07116MaRDI QIDQ3063005zbMATH OpenOpenAlexFDO

Authors Clifford Hurvich, Yi Wang

Publication date 30 December 2010

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/jbes.2009.07116

zbMATH Keywords

information sharelong-memory stochastic durationtick time

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(4)

• Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
• Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation
• Limit laws in transaction-level asset price models
• Drift in transaction-level asset price models

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