Department of Economics and Business Economics

A Stochastic Price Duration Model for Estimating High-Frequency Volatility

Research output: Working paper/Preprint Working paperResearch


  • Wei Wei
  • Denis Pelletier, University of North Carolina, United States
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Publication statusPublished - 2014

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ID: 68326546