We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

The Poisson distribution, in general remains sensitive to small departure of frequencies especially at the right tail of the distribution. In many situations it may happen that the Generalized Poisson Distribution (GPD) or a compound distribution provides a closer fit to a frequency distribution...

There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, ∞). We provide an extension of this class to the case where the shape...

The Poisson distribution, in general remains sensitive to small departure of frequencies especially at the right tail of the distribution. In many situations it may happen that the Generalized Poisson Distribution (GPD) or a compound distribution provides a closer fit to a frequency distribution...