交易层资产价格模型中的极限定律
Limit Laws in Transaction-Level Asset Price Models
摘要：
我们考虑纯跳跃交易水平模型的资产价格在连续时间内，由点过程驱动。在承认协整的双变量模型中，我们允许时间变形来解释波动率的日内季节性模式和两种资产可能不同的非交易期等影响。我们还考虑到不对称性（杠杆效应）。我们得到了对数价格过程的渐近分布。我们还获得了渐近分布的普通最小二乘估计的协整参数的基础上采样的数据从日历时间的等距离散化，在弱分数协整的情况下。对于这种情况，我们得到了在更大的条件下的锥形估计的渐近分布。
英文摘要：
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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