The econometrics of ultra-high-frequency data

Econometrica

Volumn 68, Issue 1, 2000, Pages 1-22

  Engle, Robert F ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

ACD; ARCH; GARCH; Hazard functions; Market micro structure; Point processes; Survival models; Transactions data; Volatility

Indexed keywords

EID: 0001905231     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00091     Document Type: Article

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