Econometrics of Financial High-Frequency Data

AvNikolaus Hautsch

Häftad, Engelska, 2013

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Beskrivning

This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models.

Produktinformation

Utgivningsdatum:2013-11-29
Mått:155 x 235 x 21 mm
Vikt:587 g
Format:Häftad
Språk:Engelska
Antal sidor:374
Upplaga:2012
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783642427725

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Mer om författaren

Nikolaus Hautsch, born 1972, is director of the Institute for Econometrics at the Department of Economics and Business Administration at the Humboldt-Universität zu Berlin since 2007. His research interests are financial econometrics, empirical finance and multivariate time series analysis. Particular focus is on the econometric modelling of financial high-frequency data, market microstructure analysis as well as volatility and liquidity estimation.

Innehållsförteckning

1 Introduction.- 2 Microstructure Foundations.- 3 Empirical Properties of High-Frequency Data.- 4 Financial Point Processes.- 5 Univariate Multiplicative Error Models.- 6 Generalized Multiplicative Error Models.- 7 Vector Multiplicative Error Models.- 8 Modelling High-Frequency Volatility.- 9 Estimating Market Liquidity.- 10 Semiparametric Dynamic Proportional Hazard Models.- 11 Univariate Dynamic Intensity Models.- 12 Multivariate Dynamic Intensity Models.- 13 Autoregressive Discrete Processes and Quote Dynamics.- Appendix: Important Distributions for Positive-Value Data.- Index.