Abstract
The analysis of financial data on the lowest aggregation level is an ongoing topic in the recent financial econometrics literature. The availability of financial transaction databases has created a new exciting field in econometrics and empirical finance which allows us to look at old puzzles in finance from a new perspective and to address a variety of new issues. Transaction data - sometimes refereed to as ultra-high-frequency data - can be seen as the informational limiting case where all transactions are recorded and information with respect to the complete transaction and order flow on a financial market is collected. The main property of transaction data is the irregular spacing in time. For this reason, they have to be considered as marked point processes. Since the seminal work of Engle and Russell (1998), much research effort has been devoted to the specification and application of financial point process models.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
