Abstract
Recent theoretical and empirical research in econometrics and statistics witnessed a growing interest in the modelling of high-frequency data. The ultimate limiting case is reached when all single events are recorded. Engle (2000) calls this limiting frequency “ultra-high frequency”. Especially in financial economics and econometrics, the examination of ultra-high-frequency data is an extremely active field of research. This is a clear consequence of the availability of intraday databases consisting of detailed information on the complete trading process involving in the limit case all single transactions and orders on a financial market.
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It has been published later under Engle (2000).
A third possibility to model point processes is to model the number of points in equi-distant time intervals. Since the focus on this book explicitly lies on the analysis of irregularly spaced data, the discussion of (dynamic) count data models is beyond its scope. Interested readers are referred to the textbooks by Winkelmann (1997), Cameron and Trivedi (1998) or the paper by Davis, Rydberg, Shephard, and Streett (2001), among others.
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© 2004 Springer-Verlag Berlin Heidelberg
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Hautsch, N. (2004). Introduction. In: Modelling Irregularly Spaced Financial Data. Lecture Notes in Economics and Mathematical Systems, vol 539. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-17015-7_1
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DOI: https://doi.org/10.1007/978-3-642-17015-7_1
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-21134-1
Online ISBN: 978-3-642-17015-7
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