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The econometrics of ultra-high-frequency data. (English) Zbl 1056.91535
Summary: 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 R. F. Engle and J. R. Russell [Econometrica 66, No. 5, 1127–1162 (1998; Zbl 1055.62571)] 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.

91B62 Economic growth models
91B24 Microeconomic theory (price theory and economic markets)
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