Causality effects in return volatility measures with random times

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 272-279

  Renault, Eric ^a,b   Werker, Bas J M ^b  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b TILBURG UNIVERSITY   (Netherlands)

Author keywords

Continuous time models; Durations; Granger causality; Instantaneous causality; Ultra high frequency data; Volatility per trade

Indexed keywords

CONTINUOUS TIME MODELS; DURATIONS; GRANGER CAUSALITY; INSTANTANEOUS CAUSALITY; ULTRA-HIGH FREQUENCY; VOLATILITY PER TRADE;

DIRECTIONAL PATTERNS (ANTENNA);

CONTINUOUS TIME SYSTEMS;

EID: 78649749293     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.036     Document Type: Conference Paper

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