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Modeling the interdependence of volatility and inter-transaction duration processes

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  • Grammig, Joachim
  • Wellner, Marc

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  • Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
    • Handle: RePEc:eee:econom:v:106:y:2002:i:2:p:369-400
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