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~institution:"Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)"
~institution:"National Bureau of Economic Research"
~institution:"Université Paris-Dauphine (Paris IX)"
~person:"Hua, Cheng"
~subject:"Jump diffusions"
~subject:"Volatility"
~subject:"autoregressive process"
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
National Bureau of Economic Research
Université Paris-Dauphine (Paris IX)
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Trading Volume, Price
Autocorrelation
and Volatility under Proportional Transaction Costs
Hua, Cheng
-
Université Paris-Dauphine (Paris IX)
-
2006
fundamental value which cannot be inferred from the equilibrium price. Secondly, price
autocorrelation
can be generated only by …
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