Long memory in intertrade durations, counts and realized volatility of NYSE stocks (Q993813)
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scientific article; zbMATH DE number 5788980
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| English | Long memory in intertrade durations, counts and realized volatility of NYSE stocks |
scientific article; zbMATH DE number 5788980 |
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Long memory in intertrade durations, counts and realized volatility of NYSE stocks (English)
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20 September 2010
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stochastic duration models
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autoregressive conditional duration models
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point processes
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0.85395575
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