Transaction-Level Models and their Long-Run Properties

-

Econometrics Seminar
University of Pennsylvania

3718 Locust Walk
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)

 

Sign up

 

Clifford Hurvich

NYU, Leonard N. Stern School of Business