- Admati, A., and P. Pfleiderer 1988: A Theory of Intra-Day Patterns: Volume and Price Variability, Review of Financial Studies, 1, 3 40.
Paper not yet in RePEc: Add citation now
Ait-Sahalia, Y. 1998: Dynamic Equilibrium and Volatility in Financial Asset Markets, Journal of Econometrics, 84, 93 127.
Andersen, T. G., and T. Bollerslev 1997a: Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns, Journal of Finance, 52, 975 1005.
- Andersen, T. G., T. Bollerslev, and A. Das 1998: Testing for Market Microstructure E ects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment, Discussion Paper 6666, NBER Working Paper Series.
Paper not yet in RePEc: Add citation now
Ball, C. 1988: Estimation Bias Induced by Discrete Security Prices, Journal of Finance, 43, 841 865.
Blume, L., D. Easley, and M. OHara 1994: Market Statistics and Technical Analysis: The Role of Volume, Journal of Finance, 49, 153 181.
Bollerslev, T., and I. Domowitz 1993: Trading Patterns and Prices in the Interbank Foreign Exchange Market, Journal of Finance, 48, 1421 1443.
Bollerslev, T., and M. Melvin 1994: Bid-Ask Spreads and Volatility in the Foreign Exchange Market - An Empirical Analysis, Journal of International Economics, 36, 355 372.
- Burguete, J. F., A. R. Gallant, and G. Souza 1982: On Uni cation of the Asymptotic Theory of Nonlinear Econometric Models, Econometric Reviews, 1, 151 190.
Paper not yet in RePEc: Add citation now
Cho, D. C., and E. W. Frees 1988: Estimating the Volatility of Discrete Stock Prices, Journal of Finance, 43, 451 466.
Dacorogna, M. M., U. A. Muller, R. J. Nagler, R. B. Olsen, and O. V. Pictet 1993: A Geographical Model for the Daily and Weekly Seasonal Volatility in the Foreign Exchange Market, Journal of International Money and Finance, 12, 413 438.
Easley, D., and M. OHara 1992: Time and the Process of Security Price Adjustment, Journal of Finance, 47, 577 607.
- Easley, D., N. M. Kiefer, and M. OHara 1997: The Information Content of the Trading Process, Journal of Empirical Finance, 4, 159 186.
Paper not yet in RePEc: Add citation now
Engle, R. F. 1996: The Econometrics of Ultra-High Frequency Data, Discussion paper, Department of Economics, UCSD.
- Engle, R. F., and J. R. Russell 1997: Forecasting the Frequency of Changes in QuotedForeignExchangePriceswiththeAutoregressiveConditionalDurationModel, Journal of Empirical Finance, 4, 187 212.
Paper not yet in RePEc: Add citation now
- Glosten, L. R., and L. E. Harris 1988: Estimating the Components of the Bid Ask Spread, Journal of Financial Economics, 21, 123 142.
Paper not yet in RePEc: Add citation now
- Glosten, L., and P. Milgrom1985: Bid,AskandTransactionPricesinaSpecialist Market with Heterogeneously Informed Traders, Journal of Financial Economics, 14, 71 100.
Paper not yet in RePEc: Add citation now
Goodhart, C. A. E., and M. OHara 1997: High Frequency Data in Financial Markets: Issues and Applications, Journal of Empirical Finance, 4, 73 114.
Gourieroux, C., A. Montfort, and A. Trognon 1985: A General Approach to Serial Correlation, Econometric Theory, 1, 315 340.
Gourieroux, C., and A. Montfort 1995: Statistics and Econometric Models.Cambridge University Press, Cambridge.
- Guillaume, D. M., M. M. Dacorogna, R. R. Dave, U. A. Muller, R. B. Olsen, and O. V. Pictet 1997: Fromthe Birds Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets, Finance and Stochastics, 1, 95 129.
Paper not yet in RePEc: Add citation now
- Harris, L. 1990: Estimationof Stock Variances and SerialCovariances from Discrete Observations, Journal of Financial and Quantitative Analysis, 25, 291 306.
Paper not yet in RePEc: Add citation now
- Harris, L. E. 1994: MinimumPrice Variations, Discrete Bid-Ask Spreads, and Quotation Sizes, Review of Financial Studies, 7, 149 178.
Paper not yet in RePEc: Add citation now
Hasbrouck, J. 1991: Measuring the Information Content of Stock Trades, Journal of Finance, 66, 179 206.
Hausman, J. A., A. W. Lo, and A. C. MacKinlay 1992: An Ordered Probit Analysis of Transaction Stock Prices, Journal of Financial Economics, 31, 319 379.
Jones, C. M., G. Kaul, and M. L. Lipson 1994: Transactions, Volume, and Volatility, Review of Financial Studies, 7, 631 651.
Jones, C. M., O. Lamont, and R. L. Lumsdaine 1998: Macroeconomic News and Bond Market Volatility, Journal of Financial Economics, 47, 315 337.
- Journal of Empirical Finance, 4, 115 158. 1998: Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies, Journal of Finance, 53, 219 265.
Paper not yet in RePEc: Add citation now
- Kim, O., and R. E. Verrechia 1991: Market Reactions to Anticipated Announcements, Journal of Financial Economics, 30, 273 309.
Paper not yet in RePEc: Add citation now
Kodde, D. A., F. C. Palm, and G. A. Pfann 1990: Asymptotic Least-Squares EstimationE ciency Considerationsand Applications,Journal of Applied Econometrics, 5, 229 243.
Lee, C. M. C., and M. J. Ready 1991: Inferring Trade Direction from Intraday Data, Journal of Finance, 46, 733 746.
Maddala, G. S., and M. Nimalendran 1995: An Unobserved Component Panel DataModeltoStudytheE ectofEarningsSurprisesonStockPrices,TradingVolumes, and Spreads, Journal of Econometrics, 68, 229 242.
McInish, T., and R. Wood 1992: An Analysis of Intraday Patterns in Bid Ask Spreads for NYSE Stocks, Journal of Finance, 47, 753 764.
- Roll, R. 1984: A Simple Implicit Measure of the E ective Bid-Ask Spread in an E cient Market, Journal of Finance, 39, 1127 1139.
Paper not yet in RePEc: Add citation now
Russell, J. R., and R. F. Engle 1998: Econometric Analysis of Discrete-Valued, Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model, Discussion paper, presented at Second International Conference on High Frequency Data in Finance, Zurich, Switzerland.
Wood, R. A., T. H. McInish, and J. K. Ord 1985: An Investigation of Transactions Data for NYSE Stocks, Journal of Finance, 40, 723 741.