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| Author: | Engle, R. F. |
| Title: | The economics of ultra-high-frequency data |
| Journal: | Econometrica
2000 : JAN, VOL. 68:1, p. 1-22 |
| Index terms: | Econometrics Volatility Stocks Prices Models USA |
| Freeterms: | Transactions data Hazard functions |
| Language: | eng |
| Abstract: | Ultra-high-frequency data is defined to be a full record of transactions with associated characteristics. The transaction arrival times and accompanying measures can be analyzed as marked point processes. The ACD point process developed by Engle and Russell (1998) is applied to IBM transactions arrival times. Combining conditional intensities with the GARCH model of prices produces ultra-high-frequency measures of volatility. Both returns and variances are found to be negatively influenced by long durations as suggested by asymmetric information models of market micro-structure. |
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