If you need an accessible version of this item please contact JSTOR User Support

The Econometrics of Ultra-High-Frequency Data

Robert F. Engle
Econometrica
Vol. 68, No. 1 (Jan., 2000), pp. 1-22
Published by: Econometric Society
Stable URL: http://www.jstor.org/stable/2999473
Page Count: 22
  • Download PDF
  • Cite this Item

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support
The Econometrics of Ultra-High-Frequency Data
Preview not available

Abstract

Ultra-high-frequency data is defined to be a full record of transactions and their 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 to develop semiparametric hazard estimates and conditional intensities. Combining these intensities with a 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.

Page Thumbnails

  • Thumbnail: Page 
1
    1
  • Thumbnail: Page 
2
    2
  • Thumbnail: Page 
3
    3
  • Thumbnail: Page 
4
    4
  • Thumbnail: Page 
5
    5
  • Thumbnail: Page 
6
    6
  • Thumbnail: Page 
7
    7
  • Thumbnail: Page 
8
    8
  • Thumbnail: Page 
9
    9
  • Thumbnail: Page 
10
    10
  • Thumbnail: Page 
11
    11
  • Thumbnail: Page 
12
    12
  • Thumbnail: Page 
13
    13
  • Thumbnail: Page 
14
    14
  • Thumbnail: Page 
15
    15
  • Thumbnail: Page 
16
    16
  • Thumbnail: Page 
17
    17
  • Thumbnail: Page 
18
    18
  • Thumbnail: Page 
19
    19
  • Thumbnail: Page 
20
    20
  • Thumbnail: Page 
21
    21
  • Thumbnail: Page 
22
    22