Motivated by features of low latency data in finance we study in detail discrete-valued Levy processes as the basis of price processes for high frequency econometrics.  An important case of this is a Skellam process, which is the difference of two independent Poisson processes.  We propose a...

Motivated by features of low latency data in financial econometrics we study in detail integervalued 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 low...

We investigate the intraday dependence pattern between tick data of stock price changes using a new time-varying model for discrete copulas. We let parameters of both the marginal models and the copula vary over time using an observation driven autoregressive updating scheme based on the score...

In this paper, we consider the Riemann–Liouville fractional integral Nα,ν(t)=1Γ(α)∫0t(t−s)α−1Nν(s)ds, where Nν(t), t≥0, is a fractional Poisson process of order ν∈(0,1], and α0. We give the explicit bivariate distribution Pr{Nν(s)=k,Nν(t)=r}, for t≥s, r≥k, the mean...

We investigate the intraday dependence pattern between tick data of stock price changes using a new time-varying model for discrete copulas. We let parameters of both the marginal models and the copula vary over time using an observation driven autoregressive updating scheme based on the score...

The aim of this work is to determine the demand factors for cesareans in Portugal. This work is exploratory and preliminary. Data is aggregated in NUTSII , for the period 2002-10. The number of cesareans performed is count data which requires the estimation of this panel data by a negative...