Intra-Daily High Frequency Time Series Econometrics Examples

[ac_1]

I would like to know what textbooks/papers have examples using intra-daily high frequency data (tick, half-hourly, hourly, etc), especially with application to forecasting returns, where RATS code is available ?

[TomDoan]

The only examples that I can find that have high frequency data are from Tsay: tsayp238.rpf, tsayp241.rpf, tsayp243.rpf, tsayp250.rpf. None of these, however, is designed to do forecasting of returns.