I think there is a paper by Breymann on intraday world equity indices ('Intadray Empirical Analysis and Modeling of Diversified World Stock Indices'). For equity, you probably want order book data or something similar.

I'm not sure I can follow you, if you calibrate your intensity functions/copulas today, you will not look at just todays spreads, but the spread history, as you would in 2006. I'm probably misundertstanding you...

there is something about the how to in 'Investigating Dynamic Dependence Using Copulae' by E. Bouye et al.

In general, the statement that stationary Markov chains can't be constructed from copulas is wrong, but not all copulas allow for such a construction. They have to meet certain conditions.If I recall correctly, you can construct Markov chains based on Archmidean and Gaussian copulas.

<t>I'd agree that copulas are not the 'all singing and dancing' solution, but they serve a purpose.To apply hedge based pricing you need to have sufficiently available (at a cost) hedge instruments. Some stuff in the structured credit space is priced using hedge-based principles. Also, do not forget...

complete independence between IR and HR and/or known functional forms for IR & HR if you want to take it apart from CDS spreads alone.

A CDS is linked to the forward and hazard rate structure, so it could very well develop/have significant IR exposure. In fact, you need to make some assumptions to easily untangle IR and hazard rate exposure.

Germany had a pebble bed reactor once, it worked but was never economically viable. But pebbles are supposed to be sort of melt-down proof by construction...

<t>There is another way that is more compatible with standard optimizers:making sure that only alphas that are significantly different are actually presented as different to the optimizer.Resampling is a popular(?) way to look at estimation errors in a MV framework.But yes, there is a lot of ineffic...

I'm not sure if this is excatly what you are looking for but, there is a paper by S Da Silva 'Chaotic Exchange Rate Dynamics Redux' which could be interesting. Also Chen & Tsao 'Financial Modeling Based in the Trajectory Domain'...

<t>There are systems out there which use quite complex non-linear transaction cost functions. How useful very detailed tc-modelling in an optimizer framework is depends on what the optimizer is used for:For normal portfolio management, i.e. rather low turnover, the importance of tc in an optimizatio...

look at the working papers on www.olsen.ch, mostly dealing with volatility, though.

look at the working papers on www.olsen.ch, mostly dealing with volatility, though.

Have you looked into 'An Introduction to High-Frequency Finance" by Daorogna et al. (Academic Press)?

I don't think there is a concensus way.It depends on what you want the aggregated data to represent:a) if it should have been tradable in that interval you have to do some sort of inf/sub aggregation.b) if it should be representative in some other way, median etc. might work.