Hurvich, Cliiford and Wang, Yi (2006): A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects.
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
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