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Econometrics of Financial High-Frequency Data

Econometrics of Financial High-Frequency Data

Nikolaus Hautsch

267,36 €
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Editorial:
Springer Nature B.V.
Año de edición:
2011
Materia
Macroeconomía
ISBN:
9783642219245

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Sobre IBD

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.

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