TY  - BOOK
AU  - Hautsch,Nikolaus
TI  - Econometrics of financial high-frequency data
SN  - 9783642219252
AV  - HG106 .H38 2012
PY  - 2012///]
CY  - Heidelberg, New York
PB  - Springer
KW  - Finance
KW  - Econometric models
N1  - 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
ER  -