We propose a new transaction-level bivariate log-price model, which yields fractional or standard cointegration. The model provides a link between market microstructure and lower-frequency observations. The two ingredients of our model are a Long Memory Stochastic Duration process for the...

We propose a new transaction-level bivariate log-price model, which yields fractional or standard cointegration. To the best of our knowledge, all existing models for cointegration require the choice of a fixed sampling frequency Delta t. By contrast, our proposed model is constructed at the...