The Econometrics of Ultra-High Frequency Data

19 Pages Posted: 26 Jun 2000 Last revised: 29 Nov 2022

See all articles by Robert F. Engle

Robert F. Engle

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER); New York University (NYU) - Volatility and Risk Institute

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

Suggested Citation

Engle, Robert F., The Econometrics of Ultra-High Frequency Data (November 1996). NBER Working Paper No. w5816, Available at SSRN: https://ssrn.com/abstract=225604

Robert F. Engle (Contact Author)

New York University (NYU) - Department of Finance ( email )

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New York University (NYU) - Volatility and Risk Institute ( email )

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