Spectral analysis for intrinsic time processes

Takahide Ishioka, Shunsuke Kawamura, Tomoyuki Amano, Masanobu Taniguchi

    Research output: Contribution to journalArticle

    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

    Fingerprint

    Spectral Analysis
    Spectral Density
    Asymptotic Theory
    Transactions
    Numerical Study
    Spectral analysis
    Intrinsic
    Spectral density

    ASJC Scopus subject areas

    • Statistics, Probability and Uncertainty
    • Statistics and Probability

    Cite this

    Spectral analysis for intrinsic time processes. / Ishioka, Takahide; Kawamura, Shunsuke; Amano, Tomoyuki; Taniguchi, Masanobu.

    In: Statistics and Probability Letters, Vol. 79, No. 23, 01.12.2009, p. 2389-2396.

    Research output: Contribution to journalArticle

    Ishioka, Takahide ; Kawamura, Shunsuke ; Amano, Tomoyuki ; Taniguchi, Masanobu. / Spectral analysis for intrinsic time processes. In: Statistics and Probability Letters. 2009 ; Vol. 79, No. 23. pp. 2389-2396.
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