The econometrics of ultra-high-frequency data

被引：336

作者：

Engle, RF ^{[1
]}

机构：

[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA

来源：

ECONOMETRICA | 2000年 / 68卷 / 01期

关键词：

transactions data; point processes; hazard functions; survival models; ACD; volatility; ARCH; GARCH; market micro-structure;

D O I：

10.1111/1468-0262.00091

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：1 / 22

页数：22

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