The Econometrics of Ultra-High Frequency Data

Robert Engle

Econometrica, 2000, vol. 68, issue 1, 1-22

Abstract: 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.

Date: 2000
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Working Paper: The Econometrics of Ultra-High Frequency Data (1996)
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