The Econometrics of Ultra-high-frequency Data
Article first published online: 10 DEC 2003
Econometric Society 2000
Volume 68, Issue 1, pages 1–22, January 2000
How to Cite
Engle, R. F. (2000), The Econometrics of Ultra-high-frequency Data. Econometrica, 68: 1–22. doi: 10.1111/1468-0262.00091
- Issue published online: 10 DEC 2003
- Article first published online: 10 DEC 2003
- Cited By
- Transactions data;
- point processes;
- hazard functions;
- survival models;
- market micro-structure.
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.