Modeling the interdependence of volatility and inter-transaction duration processes
Year of publication: |
1999
|
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Authors: | Grammig, Joachim ; Wellner, Marc |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | Inter-transaction duration and volatility | financial market microstructure | ultrahigh frequency data | autoregressive conditional duration |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 1999,21 |
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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