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Article Dans Une Revue Econometric Theory Année : 2014

Limit Laws in Transaction-Level Asset Price Models

Alexander Aue
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Lajos Horváth
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Philippe Soulier
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Résumé

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
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Dates et versions

hal-00583372 , version 1 (05-04-2011)
hal-00583372 , version 2 (10-04-2013)

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Alexander Aue, Lajos Horváth, Clifford M. Hurvich, Philippe Soulier. Limit Laws in Transaction-Level Asset Price Models. Econometric Theory, 2014, FirstView Article pp 1-44. ⟨10.1017/S0266466613000406⟩. ⟨hal-00583372v2⟩
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