LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS (Q3191830): Difference between revisions

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+.0841
@@ Property / arXiv ID: 1104.0841 / rank @@
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+Weak convergence of multivariate fractional processes
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+A Pure-Jump Transaction-Level Price Model Yielding Cointegration
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+Predicting volatility: getting the most out of return data sampled at different frequencies
+Normal rank
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+Semiparametric Estimation of Multivariate Fractional Cointegration
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Estimating fractional cointegration in the presence of polynomial trends
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+CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
+Normal rank
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
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@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
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@@ Property / cites work @@
+Long memory in intertrade durations, counts and realized volatility of NYSE stocks
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+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
+Normal rank
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+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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@@ Property / cites work @@
+Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
+Normal rank
@@ Property / cites work @@
+Functional central limit theorems for processes with positive drift and their inverses
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@@ Property / cites work @@
+Narrow-band analysis of nonstationary processes
@@ Property / cites work: Narrow-band analysis of nonstationary processes / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+Option Pricing with a General Marked Point Process
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@@ Property / cites work @@
+Variance-type estimation of long memory
@@ Property / cites work: Variance-type estimation of long memory / rank @@
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@@ Property / OpenAlex ID @@
+W3123736780
@@ Property / OpenAlex ID: W3123736780 / rank @@
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