| 書目名稱 | Econometrics of Financial High-Frequency Data | | 編輯 | Nikolaus Hautsch | | 視頻video | http://file.papertrans.cn/302/301466/301466.mp4 | | 概述 | Focus on theory and application.State-of-the-art econometric methods to model financial high-frequency data.Presents numerous applications, e.g. volatility and liquidy estimation.Discussion of impleme | | 圖書封面 |  | | 描述 | 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. | | 出版日期 | Book 2012 | | 關(guān)鍵詞 | Financial Point Processes; High-Frequency Econometrics; High-Frequency Volatility; Liquidity Dynamics; M | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-21925-2 | | isbn_softcover | 978-3-642-42772-5 | | isbn_ebook | 978-3-642-21925-2 | | copyright | Springer-Verlag Berlin Heidelberg 2012 |
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