Grammig, Joachim; Wellner, Marc - Sonderforschungsbereich 373, Quantifikation und … - 1999
In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...
