Department of Economics and Business Economics

Wei Wei

A Stochastic Price Duration Model for Estimating High-Frequency Volatility

Research output: Working paper/Preprint Working paperResearch

Standard

A Stochastic Price Duration Model for Estimating High-Frequency Volatility. / Wei, Wei; Pelletier, Denis.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paper/Preprint Working paperResearch

Harvard

Wei, W & Pelletier, D 2014 'A Stochastic Price Duration Model for Estimating High-Frequency Volatility' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Wei, W., & Pelletier, D. (2014). A Stochastic Price Duration Model for Estimating High-Frequency Volatility. Institut for Økonomi, Aarhus Universitet.

CBE

Wei W, Pelletier D. 2014. A Stochastic Price Duration Model for Estimating High-Frequency Volatility. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Wei, Wei and Denis Pelletier A Stochastic Price Duration Model for Estimating High-Frequency Volatility. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014.,

Vancouver

Wei W, Pelletier D. A Stochastic Price Duration Model for Estimating High-Frequency Volatility. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014.

Author

Wei, Wei ; Pelletier, Denis. / A Stochastic Price Duration Model for Estimating High-Frequency Volatility. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Bibtex

@techreport{9b9c7321ae9348ebb6e362261f6d6d2c,
title = "A Stochastic Price Duration Model for Estimating High-Frequency Volatility",
author = "Wei Wei and Denis Pelletier",
year = "2014",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - A Stochastic Price Duration Model for Estimating High-Frequency Volatility

AU - Wei, Wei

AU - Pelletier, Denis

PY - 2014

Y1 - 2014

M3 - Working paper

BT - A Stochastic Price Duration Model for Estimating High-Frequency Volatility

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -