Modeling the contemporaneous duration dependence for high-frequency stock prices

Ba Chu and Marcel Voia
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Ba Chu: Carleton University

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Date: 2010-09
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Published in Finance Research Letters, 2010, 7 (3), pp.148-162. ⟨10.1016/j.frl.2010.02.006⟩

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Journal Article: Modeling the contemporaneous duration dependence for high-frequency stock prices (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04926656

DOI: 10.1016/j.frl.2010.02.006

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