Analysis of High Frequency Financial DataModels教材.pdfVIP

Analysis of High Frequency Financial Data: Models, Methods and Software. Part I: Descriptive Analysis of High Frequency Financial Data with S-PLUS. Eric Zivot∗ July 4, 2005. 1 Introduction High-frequency financial data are observations on financial variables taken daily or at a finer time scale, and are often irregularly spaced over time. Advances in computer technology and data recording and storage have made these data sets increasingly accessible to researchers and have drive