Murphy, Anthony; Izzeldin, Marwan - In: Applied Financial Economics 20 (2010) 10, pp. 761-769
We investigate the univariate procedure used by Ane and Geman (AG, 2000) to recover the moments of the information flow from high-frequency data, in a mixture of distributions model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the...