Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - Department of Economics, University of Waterloo - 2008
This paper presents a new class of time-deformation (or stochastic volatility) models for stock returns sampled in transaction time and directed by a generalized duration process. Stochastic volatility in this model is driven by an observed duration process and a latent autoregressive process....
