Econometrics of financial high-frequency data - Hautsch, Nikolaus (Heidelberg ; New York : Springer, 2012)
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.
Includes bibliographical references and index.
Keywords: Finance -- Econometric models