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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/28084
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| Title: | Limit Laws in Transaction-Level Asset Price Models |
| Authors: | Aue, Alexander
Horvath, Lajos
Hurvich, Clifford |
| Issue Date: | 26-May-2009 |
| Series/Report no.: | CeDER-09-02 |
| 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
e®ects as intraday seasonal patterns in volatility, and non-trading
periods that may be di®erent for the two assets. Most assumptions
are stated directly on the point process, though we provide
su±cient conditions on the corresponding inter-trade durations
for these assumptions to hold. We obtain the asymptotic distribution of
the log-price process. We also obtain the asymptotic distribution of the
ordinary least-squares estimator of the cointegrat- ing parameter based
on data sampled from an equally-spaced discretization of calendar time,
in the case of weak fractional cointegration. Finally, we obtain the
limiting distribution of the ordinary least-squares estimator of the
autoregressive parameter in a simpli¯ed transaction-level
univariate model with a unit root. |
| URI: | http://hdl.handle.net/2451/28084 |
| Appears in Collections: | CeDER Working Papers
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