Hurvich, Clifford and Wang, Yi (2009): A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects. Forthcoming in: Journal of Business and Economic Statistics
Hurvich, Cliiford and Wang, Yi (2006): A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects. Unpublished.
