A complete transactions record is defined to be ultra-high frequency data. The transaction arrival times and associated characteristics can be analyzed by marked point processes. The ACD model developed by Engle and Russell (1998) is then applied to IBM transactions data to develop semi-parametric hazard estimates and measures of conditional variances. Both returns and variances are negatively influenced by surprisingly long durations as suggested by asymmetric information models of market micro-structure.
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Article provided by Econometric Society in its journal Econometrica.
Volume (Year): 68 (2000) Issue (Month): 1 (January) Pages: 1-22 Download reference. The following formats are available: HTML
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