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Econometrics of financial high-frequency data /
Hautsch, Nikolaus.
Econometrics of financial high-frequency data / Nikolaus Hautsch. - xiii, 371 pages : illustrations (some color) ; 26 cm.
Includes bibliographical references and index.
1 Introduction -- 2 Microstructure Foundations -- 3 Empirical Properties of High-Frequency Data -- 4 Financial Point Processes -- 5 Univariate Multiplicative Error Models -- 6 Generalized Multiplicative Error Models -- 7 Vector Multiplicative Error Models -- 8 Modelling High-Frequency Volatility -- 9 Estimating Market Liquidity -- 10 Semiparametric Dynamic Proportional Hazard Models -- 11 Univariate Dynamic Intensity Models -- 12 Multivariate Dynamic Intensity Models -- 13 Autoregressive Discrete Processes and Quote Dynamics -- Appendix: Important Distributions for Positive-Value Data -- Index.
9783642219252 364221925X
Finance--Econometric models.
HG106 / .H38 2012
Econometrics of financial high-frequency data / Nikolaus Hautsch. - xiii, 371 pages : illustrations (some color) ; 26 cm.
Includes bibliographical references and index.
1 Introduction -- 2 Microstructure Foundations -- 3 Empirical Properties of High-Frequency Data -- 4 Financial Point Processes -- 5 Univariate Multiplicative Error Models -- 6 Generalized Multiplicative Error Models -- 7 Vector Multiplicative Error Models -- 8 Modelling High-Frequency Volatility -- 9 Estimating Market Liquidity -- 10 Semiparametric Dynamic Proportional Hazard Models -- 11 Univariate Dynamic Intensity Models -- 12 Multivariate Dynamic Intensity Models -- 13 Autoregressive Discrete Processes and Quote Dynamics -- Appendix: Important Distributions for Positive-Value Data -- Index.
9783642219252 364221925X
Finance--Econometric models.
HG106 / .H38 2012
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