Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 2000, Volume 68, Issue 1

The Econometrics of Ultra‐high‐frequency Data
p. 1-22

Robert F. Engle

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.

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