Irregularly Spaced AR (ISAR) Models
High frequency data in finance are time series which are often measured at unequally or irregularly spaced time intervals. This paper suggests a modeling approach by so-called AR response surfaces where the AR coefficients are declining functions in continuous lag time. The irregularly spaced ISAR models contain the usual AR models as a special case if the time series is equally spaced. We illustrate our methodology with two examples.
KeywordsDecay Parameter High Frequency Data Reciprocal Function Autoregressive Conditional Heteroskedasticity Space Time Interval
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