This paper introduces a new continuous-time framework for modelling serially correlated count and integer-valued data. The key component in our new model is the class of integer-valued trawl (IVT) processes, which are serially correlated, stationary, infinitely divisible processes. We analyse...

Realised kernels use high frequency data to estimate daily volatility of individual stock prices. They can be applied to either trade or quote data. Here we provide the details of how we suggest implementing them in practice. We compare the estimates based on trade and quote data for the same...

This paper shows how to use realised kernels to carry out efficient feasible inference on the ex-post variation of underlying equity prices in the presence of simple models of market frictions. The issue is subtle with only estimators which have symmetric weights delivering consistent estimators...