Modelling Financial High Frequency Data Using Point Processes
CORE Discussion Paper No. 2006/80
31 Pages Posted: 19 Nov 2006
There are 2 versions of this paper
Modelling Financial High Frequency Data Using Point Processes
Modelling Financial High Frequency Data Using Point Processes
Date Written: September 2006
Abstract
In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models.
Keywords: Duration, intensity, point process, high frequency data, ACD models
JEL Classification: C41, C32
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
By Luc Bauwens and J. V. K. Rombouts
-
Time-Varying Arrival Rates of Informed and Uninformed Trades
By David Easley, Liuren Wu, ...
-
A Model for the Federal Funds Rate Target
By James D. Hamilton and Oscar Jorda
-
A Model for the Federal Funds Rate Target
By James D. Hamilton and Oscar Jorda
-
The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
By Luc Bauwens and Pierre Giot
-
By Luc Bauwens and David Veredas
-
Identifying Bull and Bear Markets in Stock Returns
By John M. Maheu and Thomas H. Mccurdy