We establish sufficient conditions on durations that arestationary with finite variance and memory parameter $d \in[0,1/2)$ to ensure that the corresponding counting process $N(t)$satisfies $Var N(t) \sim C t^{2d+1}$ ($Cgt;0$) as $t\rightarrow \infty$, with the same memory parameter $d...

We establish sufficient conditions on durations that are stationary with finite variance and memory parameter d 2 [0; 1=2) to ensure that the corresponding counting process N(t) satisfies VarN(t) raquo; Ct2d+1 (C gt; 0) as t ! 1, with the same memory parameter d 2 [0; 1=2) that was assumed for the...

We establish sufficient conditions on durations that are stationary with finite variance and memory parameter $d \in [0,1/2)$ to ensure that the corresponding counting process $N(t)$ satisfies $\textmd{Var} \, N(t) \sim C t^{2d+1}$ ($C0$) as $t \rightarrow \infty$, with the same memory parameter...

We propose a new hypothesis-testing method for multipredictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test is based on the augmented regression method (Amihud and Hurvich, ), which produces reduced-bias...

We propose a new transaction-level bivariate log-price model, which yields fractional or standard cointegration. The model provides a link between market microstructure and lower-frequency observations. The two ingredients of our model are a Long Memory Stochastic Duration process for the...