MARC details
| 000 -LEADER |
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| fixed length control field |
01922nam a22002897a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240325100936.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240325b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Deo, Rohit |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Conditions for the propagation of memory parameter from durations to counts and realized volatility |
| Statement of responsibility, etc. |
created by Rohit Deo , Clifford M. Hurvich , Philippe Soulier and Yi Wang |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
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| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 3, |
| 520 3# - SUMMARY, ETC. |
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| Summary, etc. |
We establish sufficient conditions on durations that are stationary with finite variance and memory parameter to ensure that the corresponding counting process N(t) satisfies Var N(t) ~ Ct2d+1 (C > 0) as t → ∞, with the same memory parameter that was assumed for the durations. Thus, these conditions ensure that the memory parameter in durations propagates to the same memory parameter in the counts. We then show that any autoregressive conditional duration ACD(1,1) model with a sufficient number of finite moments yields short memory in counts, whereas any long memory stochastic duration model with d > 0 and all finite moments yields long memory in counts, with the same d. Finally, we provide some results about the propagation of long memory to the empirically relevant case of realized variance estimates affected by market microstructure noise contamination. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Time series analysis |
| Form subdivision |
Estimation theory |
| General subdivision |
Volatility |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Duration analysis |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hurvich, Clifford M. |
| Relator term |
co author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Soulier, Philippe |
| Relator term |
co author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Wang, Yi |
| Relator term |
co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
https://doi.org/10.1017/S0266466608090294 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |