We consider semi parametric estimation of the long-memory parameter of a stationaryprocess in the presence of an additive nonparametric mean function. We use a semi parametric Whittle type estimator, applied to the tapered, differenced series. Since the mean function is not necessarily...

We consider the asymptotic behavior of log-periodogram regression estimators ofthe memory parameter in long-memory stochastic volatility models, under the nullhypothesis of short memory in volatility. We show that in this situation, if theperiodogram is computed from the log squared returns,...

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...