Whereas the literature on additive measurement error has known a considerable treatment, less work has been done for multiplicative noise. In this paper we concentrate on multiplicative measurement error in the covariates, which contrary to additive error not only modies proportionally the...

In this paper the dynamics of a joint transaction process are investigated. The transaction process is characterized by four marks: price changes, transaction volumes, bid--ask spreads and intertrade durations. Based on a copula approach, a model for their joint density is proposed, which avoids...