The Econometrics of Ultra-High Frequency Data

Robert F. Engle A complete transactions record is defined to be ultra-high frequency data. The transaction arrival times and associated characteristics can be analyzed by marked point processes. The ACD model developed by Engle and Russell (1998) is then applied to IBM transactions data to develop semi-parametric hazard estimates and measures of conditional variances. Both returns and variances are negatively influenced by surprisingly long durations as suggested by asymmetric information models of market micro-structure.

Efficient Estimation in Semiparametric Time Series: the ACD Model Feike Drost (University of Tilburg)

ABSTRACT

In this paper we consider efficient estimation in semiparametric ACD models. We consider a suite of model specifications that impose less and less structure. We calculate the corresponding efficiency bounds, discuss the construction of efficient estimators in each case, and study the efficiency loss between the models. We provide a simulation study that shows the practical gain from using the proposed semiparametric procedures. We find that, although one does not gain as much as theory suggests, these semiparametric procedures definitely outperform more classical procedures.

谢谢！可以用参数方法估计吗？半参数不是很熟悉。

谢谢楼上对acd模型的介绍。我现在需要用这个模型作实证分析，但是不知道如何编写这个程序：（找到一个gauss code 但是用不了。请问有谁知道应该如何做吗？再次谢谢！