The Econometrics of Ultra-High-Frequency Data

Engle, R. F. (2000). The Econometrics of Ultra-High-Frequency Data. Econometrica, 1-22.

Type

Journal article

Intellectual base

Primary research

Year

2000

DOI

10.1111/1468-0262.00091

Link

https://doi.org/10.1111/1468-0262.00091

Cited by

1 citation across 1 artifact.

Domain-specific

• Autoregressive Conditional Duration
  • Engle embeds duration analysis in marked point-process views of complete transaction records and links surprising duration to market-microstructure quantities.

Verification

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Registry ID ref:633d65b37301 · see in the full table