The Econometrics of Ultra-High Frequency Data
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- Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," NBER Working Papers 5816, National Bureau of Economic Research, Inc.
References listed on IDEAS
- Shephard, Neil, 1993. "Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 135-152, Suppl. De.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
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