Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; … - In: Econometric Theory 25 (2009) 03, pp. 764-792
We establish sufficient conditions on durations that are stationary with finite variance and memory parameter <inline-graphic>null</inline-graphic> to ensure that the corresponding counting process <italic>N</italic>(<italic>t</italic>) satisfies Var <italic>N</italic>(<italic>t</italic>) ~ <italic>Ct</italic><sup>2</sup> (<italic>C</italic> 0) as <italic>t</italic> → ∞, with the same memory parameter <inline-graphic>null</inline-graphic> that was assumed for the durations. Thus,...
