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Stochatic Volatility Models with Transaction Time Risk

Author

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  • Renault, E.
  • Werker, B.J.M.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Renault, E. & Werker, B.J.M., 2004. "Stochatic Volatility Models with Transaction Time Risk," Other publications TiSEM 06337eb0-e3eb-4d91-baeb-d, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:06337eb0-e3eb-4d91-baeb-d05af7410b36
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    Cited by:

    1. Ben Sita, Bernard, 2010. "Autocorrelation of the trade process: Evidence from the Helsinki Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 538-547, November.
    2. Anthony Tay & Christopher Ting, 2006. "Intraday stock prices, volume, and duration: a nonparametric conditional density analysis," Empirical Economics, Springer, vol. 30(4), pages 827-842, January.
    3. Ben Sita, Bernard & Westerholm, P. Joakim, 2011. "The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 306-310.
    4. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 29-56, Winter.
    5. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2008. "Time-Deformation Modeling Of Stock Returns Directed By Duration Processes," Working Papers 08010, University of Waterloo, Department of Economics.

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