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We investigate the conditional tail behaviour of asset price changes at high (10-second) frequencies using a new dynamic model for integer-valued tickdata. The model has fat tails, scale dynamics, and allows for possible over- or under-representation of zero price changes. The model can be...
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identification constraints for parameter estimation. We provide an asymptotic theory for a Two-Stage Maximum Likelihood Estimator (2 …
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This paper introduces the family of Dynamic Kernel models. These models approximate the predictive density function of a time series through a weighted average of kernel densities possessing a dynamic bandwidth. A general specification is presented and several particular models are studied in...
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