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Some reflections on analysis of high-frequency data

Andersen, Torben - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 146-153

Persistent link: https://www.econbiz.de/10001469560

Modelling irregularly spaced financial data : theory and practice of dynamic duration models

Hautsch, Nikolaus - 2004

Persistent link: https://www.econbiz.de/10001928231

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015

Persistent link: https://www.econbiz.de/10003804813

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...