000			01582nam a2200301 i 4500
008			111024t20122012gw a b 001 0 eng d
020			_a9783642219252 _q(electronic bk.)
020			_a364221925X _q(electronic bk.)
020			_z9783642219245
020			_z3642219241
040			_aGW5XE _beng _erda _cGW5XE _dE7B _dYDXCP _dOSU
049			_aBAUN_MERKEZ
050	0	4	_aHG106 _b.H38 2012
082	0	4	_223
100	1		_aHautsch, Nikolaus.
245	1	0	_aEconometrics of financial high-frequency data / _cNikolaus Hautsch.
264		1	_aHeidelberg ; _aNew York : _bSpringer, _c[2012]
264		4	_c©2012
300			_axiii, 371 pages : _billustrations (some color) ; _c26 cm.
336			_atext _btxt _2rdacontent
337			_aunmediated _bn _2rdamedia
338			_avolume _bnc _2rdacarrier
504			_aIncludes bibliographical references and index.
505	0	0	_t1 Introduction -- _t2 Microstructure Foundations -- _t3 Empirical Properties of High-Frequency Data -- _t4 Financial Point Processes -- _t5 Univariate Multiplicative Error Models -- _t6 Generalized Multiplicative Error Models -- _t7 Vector Multiplicative Error Models -- _t8 Modelling High-Frequency Volatility -- _t9 Estimating Market Liquidity -- _t10 Semiparametric Dynamic Proportional Hazard Models -- _t11 Univariate Dynamic Intensity Models -- _t12 Multivariate Dynamic Intensity Models -- _t13 Autoregressive Discrete Processes and Quote Dynamics -- _tAppendix: Important Distributions for Positive-Value Data -- _tIndex.
650		0	_aFinance _xEconometric models.
900			_a35530
942			_2lcc _cKT
999			_c32758 _d32758