CECI, CLAUDIA; GERARDI, ANNA - In: International Journal of Theoretical and Applied … 09 (2006) 04, pp. 555-576
A general model for intraday stock price movements is studied. The asset price dynamics is described by a marked point process Y, whose local characteristics (in particular the jump-intensity) depend on some unobservable hidden state variable X. The dynamics of Y and X may be strongly dependent....