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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
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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.