The Econometrics of Ultra-High Frequency Data
19 Pages Posted: 26 Jun 2000 Last revised: 29 Nov 2022
Date Written: November 1996
Abstract
Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop semi-parametric hazard estimates and measures of instantaneous conditional variances. The variances are negatively influenced by surprisingly long durations as suggested by some of the market micro-structure literature
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