Description: Econometrics of Financial High-Frequency Data, Hardcover by Hautsch, Nikolaus, ISBN 3642219241, ISBN-13 9783642219245, Brand New, Free shipping in the US 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.
Price: 220.53 USD
Location: Jessup, Maryland
End Time: 2025-01-19T20:53:28.000Z
Shipping Cost: 0 USD
Product Images
Item Specifics
Return shipping will be paid by: Buyer
All returns accepted: Returns Accepted
Item must be returned within: 14 Days
Refund will be given as: Money Back
Return policy details:
Book Title: Econometrics of Financial High-Frequency Data
Number of Pages: Xiv, 374 Pages
Language: English
Publication Name: Econometrics of Financial High-Frequency Data
Publisher: Springer Berlin / Heidelberg
Publication Year: 2011
Subject: Economics / Macroeconomics, Econometrics, Money & Monetary Policy
Type: Textbook
Item Weight: 26.3 Oz
Subject Area: Business & Economics
Item Length: 9.3 in
Author: Nikolaus Hautsch
Item Width: 6.1 in
Format: Hardcover
