Additional Metadata
Keywords Copula, Duration dependence, Gamma distribution, Hazard functions, Rank correlations
Persistent URL dx.doi.org/10.1016/j.frl.2010.02.006
Journal Finance Research Letters
Citation
Chu, B, & Voia, M.-C. (2010). Modeling the contemporaneous duration dependence for high-frequency stock prices. Finance Research Letters, 7(3), 148–162. doi:10.1016/j.frl.2010.02.006