Long memory in intertrade durations, counts and realized volatility of NYSE stocks

Journal of Statistical Planning and Inference

Volumn 140, Issue 12, 2010, Pages 3715-3733

  Deo, Rohit ^a   Hsieh, Mengchen ^a   Hurvich, Clifford M ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Autoregressive conditional duration models; Point processes; Stochastic duration models

Indexed keywords

EID: 77955566788     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2010.04.037     Document Type: Article

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