Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil - In: Quantitative Finance 12 (2012) 4, pp. 587-605
Motivated by features of low latency data in financial econometrics we study in detail integer-valued Lévy processes as the basis of price processes for high-frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to...