A Pure-Jump Transaction-Level Price Model Yielding Cointegration

DOI10.1198/JBES.2009.07116zbMATH Open1202.91348OpenAlexW2039090885MaRDI QIDQ3063005FDOQ3063005

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

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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)

Cited In (2)

• Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
• LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS

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