[R-SIG-Finance] Fitting returns - High frequency

[Dirk Eddelbuettel]

On 31 December 2010 at 00:38, Alex Sin wrote:
| Hello all,
| First, happy new year everyone !
| I'm trying to fit *intraday* returns on R through linear regression and
| experiencing model Heteroskedasticity and residuals autocorrelation..
| Does anyone have good articles / research papers / websites that deal with
| such issues ?

The Gencay et al book on High Frequency Finance is a good introduction. There
are *countless* issues to be aware of.

Dirk

| I would be interested in techniques for 'cleaning' the time series of the
| noise / dealing with time series of non constant variance (non stationary).
| 
| I'm also interested if anyone suggests other statistical methods (apart from
| linear regression..) that can be applied to such a problem.
| 
| Thank you !
| 
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| 
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-- 
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com