Long memory in intertrade durations, counts and realized volatility of NYSE stocks

DOI10.1016/j.jspi.2010.04.037zbMath1404.62103OpenAlexW2052514491MaRDI QIDQ993813

Clifford M. Hurvich, Rohit S. Deo, Meng-Chen Hsieh

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.037

zbMATH Keywords

point processesautoregressive conditional duration modelsstochastic duration models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items

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Uses Software

• longmemo

Cites Work

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