Causality effects in return volatility measures with random times

DOI10.1016/J.JECONOM.2010.03.036zbMath1441.62850OpenAlexW2049781928MaRDI QIDQ737283

Bas J. M. Werker, Eric Renault

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cdr.lib.unc.edu/downloads/4m90f455z

zbMATH Keywords

continuous time modelsGranger causalityultra-high frequency datainstantaneous causalitydurationsvolatility per trade

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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