Spectral analysis for intrinsic time processes

Takahide Ishioka, Shunsuke Kawamura, Tomoyuki Amano, Masanobu Taniguchi

Research output: Contribution to journalArticlepeer-review

Abstract

This paper discusses an estimation procedure for the spectral density of intrinsic time processes because there has been no argument of the spectral analysis for subordinated processes. Such processes have been proposed in a variety of contexts to describe asset price behavior. They are used when the movement of prices is tied to the number of market transactions, trading volume or the more illusive concept of information arrival. We develop the asymptotic theory for an estimated spectral density of intrinsic time processes and elucidate the asymptotics, which show some interesting structures. Also, numerical studies are given to confirm the results.

Original languageEnglish
Pages (from-to)2389-2396
Number of pages8
JournalStatistics and Probability Letters
Volume79
Issue number23
DOIs
Publication statusPublished - 2009 Dec 1

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'Spectral analysis for intrinsic time processes'. Together they form a unique fingerprint.

Cite this