publication . Doctoral thesis . 2003

Three essays on the econometric analysis of high frequency financial data

OOMEN, Roel C. A.;
Open Access English
  • Published: 01 Jan 2003
  • Country: Italy
Abstract
Defence date: 13 June 2003 Examining Board: Prof. H. Peter Boswijk, University of Amsterdam ; Prof. Søren Johansen, University of Copenhagen, Supervisor ; Prof. Helmut Lütkepohl, EUI ; Prof. Stephen Taylor, Lancaster University This thesis is motivated by the observation that the time series properties of financial security prices can vary fundamentally with their sampling frequency. Econometric models developed for low frequency data may thus be unsuitable for high frequency data and vice versa. For instance, while daily or weekly returns are generally well described by a martingale difference sequence, the dynamics of intra-daily, say, minute by minute, return...
Subjects
free text keywords: Macroeconomics -- Models
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