The Econometrics of Ultra-High Frequency Data
收藏NBER1996-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w5816
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
1996-11-01
