Transaction-Level Models and their Long-Run Properties


Econometrics Seminar
University of Pennsylvania

3718 Locust Walk
395 McNeil Building

Philadelphia, PA

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)


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Clifford Hurvich

NYU, Leonard N. Stern School of Business