A Pure-Jump Transaction-Level Price Model Yielding Cointegration
DOI10.1198/JBES.2009.07116zbMATH Open1202.91348OpenAlexW2039090885MaRDI QIDQ3063005FDOQ3063005
Authors: Clifford Hurvich, Yi Wang 
Publication date: 30 December 2010
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2009.07116
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Cited In (4)
- Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation
- Limit laws in transaction-level asset price models
- Drift in transaction-level asset price models
- Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
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