Causality effects in return volatility measures with random times

DOI10.1016/j.jeconom.2010.03.036zbMath1441.62850MaRDI 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 models; Granger causality; ultra-high frequency data; instantaneous causality; durations; volatility per trade

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

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