Indra Heckenbach

University of California, Santa Cruz

1156 High St

Santa Cruz, CA 95064

United States

  • University of California, Santa Cruz

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A Compound Duration Model for High-Frequency Asset Returns

Number of pages: 42 Posted: 17 Aug 2014 Last Revised: 08 Nov 2016
Eric M. Aldrich, Indra Heckenbach and Gregory Laughlin
University of California, Santa Cruz, University of California, Santa Cruz and Yale University
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High-frequency trading, US Equities, News arrival