Asymptotics for duration-driven long range dependent processes

A-Tier

Journal: Journal of Econometrics

Year: 2007

Volume: 141

Issue: 2

Pages: 913-949

Authors (3)

Hsieh, Meng-Chen (not in RePEc) Hurvich, Clifford M. (New York University (NYU)) Soulier, Philippe (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count