The Econometrics of Ultra-High Frequency Data
NBER Working Paper No. 5816
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
Published: Econometrica, Vol. 68 (2000): 1-22.