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The Econometrics of Ultra-High Frequency Data / Robert F. Engle.
- Format:
- Book
- Author/Creator:
- Engle, Robert F.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w5816.
- NBER working paper series no. w5816
- Language:
- English
- Subjects (All):
- Time-series analysis.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1996.
- Cambridge, Mass. : National Bureau of Economic Research, 1996.
- Summary:
- 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
- Notes:
- Print version record
- November 1996.
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