NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Econometrics of Ultra-High Frequency Data

Robert F. Engle

NBER Working Paper No. 5816
Issued in November 1996
NBER Program(s):   AP

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

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

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