We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...

We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...

The purpose of the paper is to propose an autocorrelogram estimation procedure for irregularly spaced data which are modelled as subordinated continuous time series processes. Such processes, also called time deformed stochastic processes, have been discussed in a variety of contexts. Before...

We develop a class of ARCH models for series sampled at unequal time intervals set by trade or quote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed by Drost and Nijman (1993) and Drost and Werker (1994), and the autoregressive conditional...

Subordinated stochastic processes, also called time deformed stochastic processes, have been proposed in a variety of contexts to describe asset price behavior. They are used when the movement of prices is tied to the number of market transactions, trading volume or the more illusive concept of...

In this paper, we study stochastic volatility models with time deformation. Such processes relate to early work by Mandelbrot and Taylor (1967), Clark (1973), Tauchen and Pitts (1983), among others. In our setup, the latent process of stochastic volatility evolves in a operational time which...

Globalization of trading in foreign exchange markets is a principal source of the daily and weekly seasonability in market volatility. One way to model such phenomena is to adopt a framework where market volatility is tied to the intensity of (world) trading through a subordinated stochastic...