Description: Econometrics of Financial High-Frequency Data Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Author(s): Nikolaus Hautsch Format: Hardback Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Germany Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K ISBN-13: 9783642219245, 978-3642219245 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.
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Location: Aldershot
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Book Title: Econometrics of Financial High-Frequency Data
Number of Pages: 374 Pages
Publication Name: Econometrics of Financial High-Frequency Data
Language: English
Publisher: Springer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
Item Height: 235 mm
Subject: Economics, Accounting
Publication Year: 2011
Type: Textbook
Item Weight: 746 g
Author: Nikolaus Hautsch
Item Width: 155 mm
Format: Hardcover
