Conditions for the propagation of memory parameter from durations to counts and realized volatility

Econometric Theory

Volumn 25, Issue 3, 2009, Pages 764-792

  Deo, Rohit ^a   Hurvich, Clifford M ^a   Soulier, Philippe ^b   Wang, Yi ^c  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

^c Wellington Management Company   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 69849113477     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466608090294     Document Type: Article

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