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Search: subject:"Long Memory Stochastic Duration"
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Long Memory Stochastic Duration
3
Information Share
2
Tick Time
2
Autoregressive Conditional Duration
1
Granger causality
1
Rosenthal-type Inequality
1
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Free
2
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Book / Working Paper
3
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Undetermined
3
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Wang, Yi
3
Hurvich, Clifford
2
Deo, Rohit
1
Hurvich, Cliiford
1
Soulier, Philippe
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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EconWPA
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MPRA Paper
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Econometrics
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RePEc
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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
Saved in:
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
Saved in:
3
Propagation of Memory Parameter from Durations to Counts
Deo, Rohit
;
Hurvich, Clifford
;
Soulier, Philippe
;
Wang, Yi
-
EconWPA
-
2005
yields short memory in counts, while any
Long
Memory
Stochastic
Duration
model with $d>0$ and all finite moments yields long …
Persistent link: https://www.econbiz.de/10005119205
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