TY  - JOUR
AU  - Engle,Robert F.
TI  - The Econometrics of Ultra-High Frequency Data
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5816
PY  - 1996
Y2  - November 1996
UR  - http://www.nber.org/papers/w5816
L1  - http://www.nber.org/papers/w5816.pdf
N1  - Author contact info:
Robert F. Engle, III
Department of Finance, Stern School of Business
New York University, Salomon Center
44 West 4th Street, Suite 9-160
New York, NY  10012-1126
Tel: 212/998-0710
Fax: 212/995-4220
E-Mail: rengle@stern.nyu.edu
AB  - 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
ER  -