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The econometrics of ultra-high-frequency data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
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Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 3, pp. 525-542
Persistent link: https://www.econbiz.de/10001085314
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Common persistence in conditional variances
Bollerslev, Tim - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 1, pp. 167-186
Persistent link: https://www.econbiz.de/10001139697
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Autoregressive conditional duration : a new model for irregularly spaced transaction data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 5, pp. 1127-1162
Persistent link: https://www.econbiz.de/10001249588