Rydberg, Tina Hviid; Shephard, Neil - In: Journal of Financial Econometrics 1 (2003) 1, pp. 2-25
In this article we introduce a decomposition of the joint distribution of price changes of assets recorded trade-by-trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which are easily extended in a great number of...