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Search: subject:"Long Memory Stochastic Duration"
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Long Memory Stochastic Duration
2
Tick Time
2
Granger causality
1
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Book / Working Paper
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2
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Wang, Yi
2
Hurvich, Clifford
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Hurvich, Cliiford
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects
Hurvich, Clifford
;
Wang, Yi
-
Volkswirtschaftliche Fakultät, …
-
2009
Long
Memory
Stochastic
Duration
process for the waiting times between trades, and a pair of stationary noise processes …
Persistent link: https://www.econbiz.de/10005835414
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2
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects
Hurvich, Cliiford
;
Wang, Yi
-
Volkswirtschaftliche Fakultät, …
-
2006
sampling frequencies. The two ingredients of our model are a
Long
Memory
Stochastic
Duration
process for the waiting times tau …
Persistent link: https://www.econbiz.de/10005789904
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