Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency Data

@inproceedings{Russell1999EconometricMO,
  title={Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency Data},
  author={J. T. Randolph Russell},
  year={1999}
}
The recent advent of high frequency data provides researchers with transaction by transaction level data. Examples include scanner data from grocery stores or financial transactions data. These new data sets allow researchers to take an unprecedented look at the underlying economic structure of the markets. Often the hypothesis of interest is in the context of multivariate time series data. Analysis of multivariate high frequency data is complicated by the fact that the multiple processes are… CONTINUE READING

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