Issue Date | Title | Author(s) |
7-Jan-2009 | A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects | Hurvich, Clifford; Wang, Yi |
16-May-2007 | Conditions for the Propagation of Memory Parameter from Durations to Counts and Realized Volatility | Deo, Rohit; Soulier, Philippe; Hurvich, Clifford M.; Soulier, Philippe; Wang, Yi |
8-Nov-2005 | Propagation of Memory Parameter from Durations to Counts | Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; Wang, Yi |
4-Dec-2006 | A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects | Hurvich, Clifford M.; Wang, Yi |
11-Dec-2009 | Predictive Regression With Order-p Autoregressive Predictor | Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi |