Mixed effect model for absolute log returns of ultra high frequency data

Haug, Stephan and Czado, Claudia (2005): Mixed effect model for absolute log returns of ultra high frequency data. Collaborative Research Center 386, Discussion Paper 440

Abstract

The influence of covariates on absolute log returns of ultra high frequency data is analysed. Therefore we construct a mixed effect model for the absolute log returns. The parameters are estimated in a state space approach. To analyse the correlation in these irregularly spaced data empirically, the variogram, known mainly from spatial statistics, will be used. In a small simulation study the performance of the estimators will be analysed. In the end we apply the model to IBM trade data and analyse the influence of the covariates.

• Item Type: Paper (Research Paper)
• Subjects: Mathematics, Computer Science and Statistics; Mathematics, Computer Science and Statistics > Statistics; Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386
• Dewey Classification: 600 Natural sciences and mathematics; 600 Natural sciences and mathematics > 510 Mathematics