Econometrics of Financial High-Frequency Data by Hautsch, Nikolaus

Econometrics of Financial High-Frequency Data (Hardcover) (ISBN-13: 9783642219245)

Vendor: Nikolaus Hautsch
Product type: Books
Format: Hardcover
$199.99
$199.99
$199.99
Subtotal: $199.99
Econometrics of Financial High-Frequency Data by Hautsch, Nikolaus

Econometrics of Financial High-Frequency Data

$199.99
Econometrics of Financial High-Frequency Data by Hautsch, Nikolaus

Econometrics of Financial High-Frequency Data

$199.99
Format: Hardcover
Description
Description
x
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.

Author: Nikolaus Hautsch
ISBN-10: 3642219241
ISBN-13: 9783642219245
Publisher: Springer
Language: English
Published: 10/12/2011
Pages: 374
Format: Hardcover
Weight: 1.58lbs
Size: 9.21h x 6.14w x 0.88d
By Nikolaus Hautsch
By Nikolaus Hautsch
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Nikolaus Hautsch, born 1972, is director of the Institute for Econometrics at the Department of Economics and Business Administration at the Humboldt-Universit舩 zu Berlin since 2007. His research interests are financial econometrics, empirical finance and multivariate time series analysis. Particular focus is on the econometric modelling of financial high-frequency data, market microstructure analysis as well as volatility and liquidity estimation.

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