A central limit theorem is stated for a wide class of triangular arrays of nonlinear functionals of the periodogram of a stationary linear sequence. Those functionals may be singular and not-bounded. The proof of this result is based on Bartlett decomposition and an existing counterpart result...

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...

We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is assumed to arise from a nonzero mean in the efficient shock series. It follows that the drift is proportional to the driving point process itself, i.e....