Peter Song

Independent

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Scholarly Papers (1)

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Time-Deformation Modeling of Stock Returns Directed by Duration Processes

Econometric Reviews, Forthcoming
Posted: 01 Apr 2013
Dingan Feng, Peter Song and Tony S. Wirjanto
Independent, Independent and University of Waterloo - School of Accounting and Finance

Abstract:

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Duration process, Ergodicity, Method of simulated moments, Return process, Stationarity