Transaction-Level Models and their Long-Run Properties
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Econometrics Seminar
University of Pennsylvania
3718 Locust Walk
395 McNeil Building
395 McNeil Building
Philadelphia, PA
19104
United States
Based on papers:
Drift in Transaction-Level Asset Price Models (joint with Wen Cao and Philippe Soulier)
A Pure-Jump Transaction-Level Price Model Yielding Cointegration (joint with Yi Wang)