Work

Modeling the interdependence of volatility and inter-transaction duration processes

Year: 2002

Type: article

Source: Journal of Econometrics

DOI: 10.1016/s0304-4076(01)00105-1

Authors: Joachim Grammig, Marc Wellner

Institutions: Goethe University Frankfurt, UCLouvain

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2106261752

FWCI: 8.741

Cites: 85

Cited by: 96

Related to: 10