The Econometrics of Ultra-High Frequency Data
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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Volume (Year): 68 (2000)
Issue (Month): 1 (January)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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 & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
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