The econometrics of ultra-high-frequency data
TLDR
In this article, the ACD point process was applied to IBM transaction arrival times to develop semiparametric hazard estimates and conditional intensities, and combined with a GARCH model of prices produces ultra-high-frequency measures of volatility.Abstract:
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.read more
Citations
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Time and the Price Impact of a Trade
Alfonso Dufour,Robert F. Engle +1 more
TL;DR: In this article, the authors empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation and find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade related information, and the positive autocorrelation of signed trades, all increase.
Journal ArticleDOI
Investigating the Behavior of Idiosyncratic Volatility
Yexiao Xu,Burton G. Malkiel +1 more
TL;DR: In this article, the authors studied the behavior of idiosyncratic volatility for the post-World War II period and found that the volatility of individual stocks appears to have increased over time, not solely attributed to the increasing prominence of the NASDAQ market.
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A Multiple Indicators Model For Volatility Using Intra-Daily Data
TL;DR: In this article, the authors proposed to jointly consider absolute daily returns, daily high-low range and daily realized volatility to develop a forecasting model based on their conditional dynamics, which is consistent and asymptotically normal under a wide range of specifications for the error density function.
Posted Content
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
Luc Bauwens,Pierre Giot +1 more
TL;DR: The logarithmic autoregressive conditional duration model is introduced and compared with the ACD model of Engle and Russell [1998], which allows to introduce in the model additional variables without sign restrictions on their coefficients.
Journal ArticleDOI
Investigating the Behavior of Idiosyncratic Volatility
TL;DR: In this paper, the authors studied the behavior of idiosyncratic volatility for the post war period and found that the volatility of individual stocks appears to have increased over time, not solely attributed to the increasing prominence of the NASDAQ market.
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