Abstract:

 Nonsynchronous trading is one of the ho t issues in financial high frequency data processing. This paper extends the no n synchronous trading model studied in ［1］ and ［2］ for the financial security,  and  considers the statistical specialties of the observable return series for the e xtended model. At last, the estimators of parameters are discussed.

Key words: High Frequency data, Nonsynchronous trading, Return, Moment functions, Parameters estimation.