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Nonlinear Autocorrelograms : An Application to Intra-Trade Durations

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  • Christian Gourieroux

    (Crest)

  • Joanna Jasiak

    (Crest)

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  • Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Autocorrelograms : An Application to Intra-Trade Durations," Working Papers 98-41, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:98-41
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    File URL: http://crest.science/RePEc/wpstorage/1998-41.pdf
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    References listed on IDEAS

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    1. Bond, Eric W. & Crocker, Keith J., 1997. "Hardball and the soft touch: The economics of optimal insurance contracts with costly state verification and endogenous monitoring costs," Journal of Public Economics, Elsevier, pages 239-264.
    2. Kim C. Border & Joel Sobel, 1987. "Samurai Accountant: A Theory of Auditing and Plunder," Review of Economic Studies, Oxford University Press, vol. 54(4), pages 525-540.
    3. Marie-Cécile Fagart & Pierre Picard, 1998. "Optimal Insurance Under Random Auditing," Working Papers 98-47, Center for Research in Economics and Statistics.
    4. Dilip Mookherjee & Ivan Png, 1989. "Optimal Auditing, Insurance, and Redistribution," The Quarterly Journal of Economics, Oxford University Press, vol. 104(2), pages 399-415.
    5. Bond, Eric W. & Crocker, Keith J., 1997. "Hardball and the soft touch: The economics of optimal insurance contracts with costly state verification and endogenous monitoring costs," Journal of Public Economics, Elsevier, pages 239-264.
    6. David P. Baron & David Besanko, 1984. "Regulation, Asymmetric Information, and Auditing," RAND Journal of Economics, The RAND Corporation, pages 447-470.
    7. Marie-Cécile Fagart & Pierre Picard, 1999. "Optimal Insurance Under Random Auditing," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 24(1), pages 29-54, June.
    8. Guesnerie, Roger & Laffont, Jean-Jacques, 1984. "A complete solution to a class of principal-agent problems with an application to the control of a self-managed firm," Journal of Public Economics, Elsevier, pages 329-369.
    9. Picard, Pierre, 2000. "On the Design of Optimal Insurance Policies under Manipulation of Audit Cost," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(4), pages 1049-1071, November.
    10. Greg Kaplan, 2012. "Moving Back Home: Insurance against Labor Market Risk," Journal of Political Economy, University of Chicago Press, vol. 120(3), pages 446-512.
    11. Townsend, Robert M., 1979. "Optimal contracts and competitive markets with costly state verification," Journal of Economic Theory, Elsevier, vol. 21(2), pages 265-293, October.
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    Cited by:

    1. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
    2. Stephen Bond & Julie Elston & Jacques Mairesse & Benoit Mulkay, 1997. "Financial factors and investment in Belgium, France, German and the UK: A comparison using company panel data," IFS Working Papers W97/08, Institute for Fiscal Studies.
    3. J. V. Andersen & D Sornette, 2003. "Fearless versus Fearful Speculative Financial Bubbles," Papers cond-mat/0311089, arXiv.org.
    4. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.

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