Modelling Financial High Frequency Data Using Point Processes
CORE Discussion Paper No. 2006/80
31 Pages Posted: 19 Nov 2006
Date Written: September 2006
In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models.
Keywords: Duration, intensity, point process, high frequency data, ACD models
JEL Classification: C41, C32
Suggested Citation: Suggested Citation