On bivariate time-varying price staleness

Price staleness refers to the extent of zero returns in price dynamics. Bandi et al. (2020c) introduce two types of staleness: systematic and idiosyncratic staleness. In this study, we allow price staleness to be time-varying and study the statistical inference for idiosyncratic and common price staleness between two assets. We propose consistent estimators for both time-varying idiosyncratic and systematic price staleness and derive their asymptotic theory. Moreover, we develop a feasible nonparametric test for the simultaneous constancy of idiosyncratic and common price staleness. Our inference is based on infill asymptotics. Finally, we conduct simulation studies under various scenarios to assess the finite sample performance of the proposed approaches and provide an empirical application of the proposed theory.

价格迟滞（Price staleness）指价格动态过程中零收益的出现程度。Bandi等人（2020c）将迟滞划分为两类：系统性迟滞（systematic staleness）与特质性迟滞（idiosyncratic staleness）。本研究允许价格迟滞随时间动态变化，并针对两项资产间的特质性迟滞与共性迟滞（common price staleness）开展统计推断研究。我们分别针对时变特质性迟滞与时变系统性迟滞提出了相合估计量，并推导了其渐近理论。此外，我们针对特质性迟滞与共性迟滞的同时恒定特性，构建了一种可行的非参数检验方法。本研究的统计推断基于密集采样渐近（infill asymptotics）理论。最后，我们在多种场景下开展模拟研究，以评估所提方法的有限样本表现，并展示所提理论的实证应用案例。