Econometric analysis of high frequency data |
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Authors: | Helmut Herwartz |
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Institution: | (1) Institut für Statistik und ?konometrie, Christian Abrechts-Universit?t zu Kiel, Ohlshausenstr. 40, D-24098 Kiel, Germany |
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Abstract: | Summary Owing to enormous advances in data acquisition and processing technology the study of high (or ultra) frequency data has become
an important area of econometrics. At least three avenues of econometric methods have been followed to analyze high frequency
financial data: Models in tick time ignoring the time dimension of sampling, duration models specifying the time span between
transactions and, finally, fixed time interval techniques. Starting from the strong assumption that quotes are irregularly
generated from an underlying exogeneous arrival process, fixed interval models promise feasibility of familiar time series
techniques. Moreover, fixed interval analysis is a natural means to investigate multivariate dynamics. In particular, models
of price discovery are implemented in this venue of high frequency econometrics. Recently, a sound statistical theory of ‘realized
volatility’ has been developed. In this framework high frequency log price changes are seen as a means to observe volatility
at some lower frequency. |
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Keywords: | High frequency data price discovery realized volatility JEL G15 C22 |
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