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Observed asset prices are known to deviate from their efficient values due to market mi-crostructure frictions. This paper studies the effects of market microstructure noise on non-parametric estimates of the efficient price integrated variance. Specifically, we consider both asymptotic and finite sample effects of general market microstructure noise on(More)
The recent advent of high frequency data provides researchers with transaction by transaction level data. Examples include scanner data from grocery stores or financial transactions data. These new data sets allow researchers to take an unprecedented look at the underlying economic structure of the markets. Often the hypothesis of interest is in the context(More)
This paper proposes a new approach to modeling financial transactions data. A new model for discrete valued time series is proposed in the context of generalized linear models. Since the model is specified conditional on both the previous state, as well as the historic distribution, we call the model the Autoregressive Conditional Multinomial (ACM) model.(More)
The market's risk neutral probability distribution for the value of an asset on a future date can be extracted from the prices of a set of options that mature on that date, but two key technical problems arise. In order to obtain a full well-behaved density, the option market prices must be smoothed and interpolated, and some way must be found to complete(More)
The Center for Financial Studies is a nonprofit research organization, supported by an association of more than 120 banks, insurance companies, industrial corporations and public institutions. Established in 1968 and closely affiliated with the University of Frankfurt, it provides a strong link between the financial community and academia. The CFS Working(More)
This paper proposes a new statistical model for the analysis of data which arrives at irregular intervals. The model treats the time between events as a stochastic process and proposes a new class of point processes with dependent arrival rates. The conditional intensity is developed and compared with other self-exciting processes. Because the model focuses(More)
Financial transaction prices typically lie on a discrete grid of values and arrive at random times. This paper proposes an econometric model with this structure. The distribution of each price change is a multinomial, conditional on past information and the time interval between the transactions. The proposed autoregressive conditional multinomial model is(More)