Modeling the interdependence of volatility and inter-transaction duration processes
Year of publication: |
1999
|
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Authors: | Grammig, Joachim ; Wellner, Marc |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | Inter-transaction duration and volatility | financial market microstructure | ultrahigh frequency data | autoregressive conditional duration |
Series: | SFB 373 Discussion Paper ; 1999,21 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 722180314 [GVK] hdl:10419/61742 [Handle] RePEc:zbw:sfb373:199921 [RePEc] |
Classification: | C32 - Time-Series Models ; C41 - Duration Analysis ; C51 - Model Construction and Estimation ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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