@techreport{NBERw5816,
 title = "The Econometrics of Ultra-High Frequency Data",
 author = "Robert F. Engle",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "5816",
 year = "1996",
 month = "November",
 URL = "http://www.nber.org/papers/w5816",
 abstract = {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},
}