Financial econometric analysis at ultra-high frequency: Data handling concerns

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2232-2245

  Brownlees, C T ^a   Gallo, G M ^a  

^a UNIVERSITY OF FLORENCE   (Italy)

Author keywords

ACD modeling; Financial ultra high frequency data; Outliers; Trades and quotes (TAQ)

Indexed keywords

COMPUTER SIMULATION; DATA HANDLING; DATABASE SYSTEMS; MATHEMATICAL MODELS; PROBLEM SOLVING; TIME SERIES ANALYSIS;

ACD MODELING; FINANCIAL ULTRA HIGH-FREQUENCY DATA; OUTLIERS; TRADES AND QUOTES (TAQ);

ECONOMICS;

EID: 33750970824     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.09.030     Document Type: Article

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