The Econometrics of Ultra-High Frequency Data

Robert Engle

No 5816, NBER Working Papers from National Bureau of Economic Research, Inc

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

Date: 1996-11
Note: AP
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Citations: View citations in EconPapers (18)

Published as Econometrica, Vol. 68 (2000): 1-22.

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