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Econometrics of Financial High-Frequency Data

Econometrics of Financial High-Frequency Data

Hardcover

EconomicsInvesting & FinanceGeneral Mathematics

ISBN10: 3642219241
ISBN13: 9783642219245
Publisher: Springer Nature
Published: Oct 12 2011
Pages: 374
Weight: 1.58
Height: 0.88 Width: 6.14 Depth: 9.21
Language: English
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.

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