Due to the permanently increasing availability of high-frequency financial data, the empirical analysis of trading behavior and the modelling of trading processes has become a major theme in modern financial econometrics. Key variables in empirical studies of high-frequency data are price volatilities, trading volume, trading intensities, bid-ask spreads and market depth as displayed by an open limit order book. A common characteristic of these variables is that they are positive-valued and persistently clustered over time.
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Hautsch, N., Jeleskovic, V. (2009). High-Frequency Volatility and Liquidity. In: Härdle, W.K., Hautsch, N., Overbeck, L. (eds) Applied Quantitative Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69179-2_19
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