Econometrics of Financial High-Frequency Data
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an incr...
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| Autor Corporativo: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer
2012.
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| Colección: | Springer eBooks.
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| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b36248022*spi |
Tabla de Contenidos:
- 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.
