Spectral analysis for intrinsic time processes

Takahide Ishioka, Shunsuke Kawamura, Tomoyuki Amano, Masanobu Taniguchi*

*この研究の対応する著者

研究成果: Article査読

抄録

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.

本文言語English
ページ(範囲)2389-2396
ページ数8
ジャーナルStatistics and Probability Letters
79
23
DOI
出版ステータスPublished - 2009 12月 1

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性

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