The phenomenon of multiple transactions at each recording time is a common occurrence for high frequency financial data, due to heavy trading of the market and limitation of the recording mechanism. The situation has existed for a long time, but is getting more common in recent years due to...

We study nonparametric estimation of regression function with nonstationary (integrated or nearly integrated) covariates and the error series of the regressor process following a fractional ARIMA model. A local linear estimation method is developed to estimate the unknown regression function....