Modeling the interdependence of volatility and inter-transaction duration processes

Journal of Econometrics

Volumn 106, Issue 2, 2002, Pages 369-400

  Grammig, Joachim ^a,b   Wellner, Marc ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b GOETHE UNIVERSITY   (Germany)

Author keywords

Financial market microstructure; Inter trade duration and volatility; Ultra high frequency data

Indexed keywords

ESTIMATION; FINANCE; MICROSTRUCTURE; MONTE CARLO METHODS; TRANSFER FUNCTIONS;

FINANCIAL MARKET MICROSTRUCTURE; MICROSTRUCTURE THEORY;

ECONOMICS;

EID: 0242379613     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00105-1     Document Type: Article

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