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ePub Econometrics of Financial High-Frequency Data download

by Nikolaus Hautsch

ePub Econometrics of Financial High-Frequency Data download
Author:
Nikolaus Hautsch
ISBN13:
978-3642219245
ISBN:
3642219241
Language:
Publisher:
Springer; 2012 edition (October 12, 2011)
Category:
Subcategory:
Mathematics
ePub file:
1163 kb
Fb2 file:
1721 kb
Other formats:
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Rating:
4.6
Votes:
671

Nikolaus Hautsch, born 1972, is director of the Institute for Econometrics at the Department of Economics and .

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. Particular focus is on the econometric modelling of financial high-frequency data, market microstructure analysis as well as volatility and liquidity estimation.

Econometrics of Financial High-Frequency Data. Authors: Hautsch, Nikolaus. Focus on theory and application. State-of-the-art econometric methods to model financial high-frequency data. Presents numerous applications, . volatility and liquidy estimation.

Books related to Econometrics of Financial High-Frequency Data. Asset Price Dynamics, Volatility, and Prediction.

You are in the South Africa store. Books related to Econometrics of Financial High-Frequency Data. The Econometrics of Financial Markets.

financial econometrics and. econometrics of high-frequency data. market microstructure analysis and liquidty.

Particular focus is on the econometric modelling of financial high-frequency data, market microstructure analysis as well as volatility and liquidity estimation. Learn about new offers and get more deals by joining our newsletter.

Start by marking Econometrics of Financial High-Frequency Data as Want to Read . This bookcovers major approaches in high-frequency econometrics.

Start by marking Econometrics of Financial High-Frequency Data as Want to Read: Want to Read savin. ant to Read. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications. Springer Science & Business Media, 2011. Modelling irregularly spaced financial data: theory and practice of dynamic duration models. A blocking and regularization approach to highdimensional realized covariance estimation. N Hautsch, LM Kyj, RCA Oomen. Journal of Applied Econometrics 27 (4), 625-645, 2012. High Frequency Financial Econometrics, 133-165, 2008. Stochastic conditional intensity processes. L Bauwens, N Hautsch.

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.