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~person:"Wellner, Marc"
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Search: subject:"autoregressive conditional duration"
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Inter-transaction duration and volatility
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autoregressive conditional duration
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financial market microstructure
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ultrahigh frequency data
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Wellner, Marc
Blasques, Francisco
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
-
Sonderforschungsbereich 373, Quantifikation und …
-
1999
propose a GMM estimation procedure for the
Autoregressive
Conditional
Duration
model. The method is then extended to the …
Persistent link: https://www.econbiz.de/10010956461
Saved in:
2
Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
-
1999
propose a GMM estimation procedure for the
Autoregressive
Conditional
Duration
model. The method is then extended to the …
Persistent link: https://www.econbiz.de/10010310019
Saved in:
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