Financial econometric analysis at ultra-high frequency: Data handling concerns
AbstractThe financial econometrics literature on Ultra High-Frequency Data (UHFD) has been growing steadily in recent years. However, it is not always straightforward to construct time series of interest from the raw data and the consequences of data handling procedures on the subsequent statistical analysis are not fully understood. Some results could be sample or asset specific and in this paper we address some of these issues focussing on the data produced by the New York Stock Exchange, summarizing the structure of their TAQ ultra high-frequency dataset. We review and present a number of methods for the handling of UHFD, and explain the rationale and implications of using such algorithms. We then propose procedures to construct the time series of interest from the raw data. Finally, we examine the impact of data handling on statistical modeling within the context of financial durations ACD models.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 51 (2006)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/csda
Other versions of this item:
- Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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