McCulloch, Robert; Tsay, Ruey - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 1, pp. 1067-1067
This paper studies nonlinear behavior of high-frequency financial data and employs nonlinear hierarchical models for analyzing such data. We illustrate the analysis by modeling the transaction-bytransaction data of IBM stock on the New York Stock Exchange for a period of 3 months. The variables...