Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns
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- Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December.
References listed on IDEAS
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More about this item
KeywordsUltra-high Frequency Data; ACD models; Outliers; New York Stock Exchange;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-28 (All new papers)
- NEP-ECM-2007-01-28 (Econometrics)
- NEP-ETS-2007-01-28 (Econometric Time Series)
- NEP-MST-2007-01-28 (Market Microstructure)
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