Econometric Modelling of Stock Market Intraday Activity

Over the past 25 years, applied econometrics has undergone tremen­ dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen­ eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ...