Uncovering Long-Run Economic Relationships in High-Frequency Financial Data -- An Accomplishment Based Renewal

计算机化通信网络和自动交易执行系统的出现，导致了最近许多不同金融市场和工具的实时价格和信息变量的可用性。该项目旨在扩展从这一新的丰富数据源中提取有关重要经济现象的有用信息的能力。具体来说，高频数据有希望提供：(i)更好地理解导致重要价格变动的信息类型及其与潜在市场微观结构的关系；（ii）对市场运作和各种宏观经济政策的有效性有更深入的了解；（iii）制定新的和更准确的风险衡量标准；（iv）关于在资产定价和风险管理中发挥关键作用的长期日内波动依赖关系的重要信息。与此同时，越来越清楚的是，高频数据的令人满意的实证分析提出了许多独特和具有挑战性的问题，需要开发新的建模范式和专门的程序，而不是传统时间序列计量经济学所采用的技术，涉及日常或低频宏观经济和金融数据的分析。以前nsf赞助的研究（奖励SES-9730440）一直处于这些发展的前沿。我们在各种论文中提出的许多想法和方法已经被学术界、政府和私营部门的其他研究人员和金融从业人员成功地实施和应用。最直接的是，我们的发现允许构建更准确的金融市场波动预测和事后波动测量。我们提出的研究议程反过来又有希望改善风险管理、监测和监督的程序，也应该导致对市场效率和不同宏观经济政策有效性的更深入理解。因此，拟议活动的一般结果应该与应用宏观经济学家、时间序列计量经济学家、金融研究人员、监管机构和从业人员等相关。

The advent of computerized communication networks and automated trade execution systems have resulted in the recent availability of real-time prices and information variables for a host of different financial markets and instruments. This project aims to expand on the ability to extract useful information about important economic phenomena from this new rich source of data. Specifically, the high-frequency data hold the promise of delivering: (i) a much better understanding of the type of information that induces important price movements and their relation to the underlying market microstructure; (ii) a deeper understanding concerning the functioning of markets and the effectiveness of various macroeconomic policies; (iii) the development of new and more accurate risk measurements; and (iv) important information about the longer-run interday volatility dependencies that play a crucial role in asset pricing and risk management. Meanwhile, it has become increasingly clear that the satisfactory empirical analysis of high -frequency data presents a host of unique and challenging problems, requiring the development of new modeling paradigms and specialized procedures relative to the techniques employed in traditional time series econometrics involving the analysis of daily or lower frequency macroeconomic and financial data. The previous NSF-sponsored research (award SES-9730440) has been at the forefront of these developments. Many of the ideas and methodologies put forth in our various papers have already been successfully implemented and applied by other researchers and finance practitioners in academia, government, and the private sector. Most immediately, our findings have allowed for the construction of more accurate financial market volatility forecasts and ex-post volatility measurements. Our proposed research agenda in turn holds the promise of improved procedures for risk management, monitoring, and oversight, and should also result in a deeper understanding concerning the efficiency of markets and the effectiveness of different macroeconomic policies. The general results of the proposed activity should therefore be of relevance to applied macroeconomists, time series econometricians, financial researchers, regulators, and practitioners alike.