Causality effects in return volatility measures with random times
type: Item
instance of: scholarly article
title: Causality effects in return volatility measures with random times
zbMATH Open document ID: 1441.62850
author: Bas J. M. Werker
author: Eric Renault
published in: Journal of Econometrics
publication date: 2016-08-10T00:00:00Z
full work available at URL: 4m90f455z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6610578
zbMATH Keywords: continuous time models
zbMATH Keywords: Granger causality
zbMATH Keywords: instantaneous causality
zbMATH Keywords: durations
zbMATH Keywords: ultra-high frequency data
zbMATH Keywords: volatility per trade
MaRDI profile type: Publication
OpenAlex ID: W2049781928
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DOI: 10.1016/J.JECONOM.2010.03.036
description: scientific article; zbMATH DE number 6610578