Long memory in intertrade durations, counts and realized volatility of NYSE stocks

By Rohit S. Deo, Meng-Chen Hsieh, Clifford M. Hurvich. 2010

47 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5a9ec19fa793f62c5d283cf5a06c5e7058e22719

Citations in the corpus

• Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, unknown): “…market data (see, among many others, Ding and Granger (1996), Andersen et al. (2003) and Corsi (2009) for volatility data, Lux and Kaizoji (2007) for traded volumes and Deo et al. (2010) for trade durations) as well as in macroeconomic time series (see Bhardwaj and Swanson (2006) for an overview).”