Drift in Transaction‐Level Asset Price Models

DOI10.1111/jtsa.12235zbMath1378.62125arXiv1211.5372OpenAlexW1491723331MaRDI QIDQ5357989

Philippe Soulier, Wen Cao, Clifford M. Hurvich

Publication date: 18 September 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.5372

zbMATH Keywords

growth ratesheavy tailslong memorysubsamplingdurations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility ⋮ Testing stationarity of the detrended price return in stock markets ⋮ Review of statistical approaches for modeling high-frequency trading data

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