Integer-valued Lévy processes and low latency financial econometrics
From MaRDI portal
Publication:2873033
DOI10.1080/14697688.2012.664935zbMath1278.91156MaRDI QIDQ2873033
Neil Shephard, Ole Eiler Barndorff-Nielsen, David G. Pollard
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/22186998/rp10_66.pdf
negative binomial; futures markets; tempered stable; Skellam distribution; high-frequency econometrics; low latency data
60G51: Processes with independent increments; Lévy processes
91G70: Statistical methods; risk measures
91B60: Trade models
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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