Limit Laws in Transaction-Level Asset Price Models
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
Cite
@article{arxiv.1104.0841,
title = {Limit Laws in Transaction-Level Asset Price Models},
author = {Alexander Aue and Lajos Horváth and Clifford M. Hurvich and Philippe Soulier},
journal= {arXiv preprint arXiv:1104.0841},
year = {2014}
}
Comments
This version accepted by Econometric Theory