Econometrics of Financial High-Frequency Data (2012)
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- Synopsis
- 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 increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. 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. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
- Copyright:
- 2012
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783642219252
- Related ISBNs:
- 9783642219245
- Publisher:
- Springer Berlin Heidelberg
- Date of Addition:
- 08/04/22
- Copyrighted By:
- Springer-Verlag Berlin Heidelberg
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.