Shephard, Neil; Rydberg, Tina Hviid - Department of Economics, Oxford University - 2002
are easily extended in a great number of directions, including using durations and volume as explanatory variables. Thus …In this paper 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 …