Econometrics of Financial High-Frequency Data

Released on by Nikolaus Hautsch
preview-18

  • Econometrics of Financial High-Frequency Data Book Detail

  • Author : Nikolaus Hautsch
  • Release Date : 2011-10-12
  • Publisher : Springer Science & Business Media
  • Genre : Business & Economics
  • Pages : 381
  • ISBN 13 : 364221925X
  • File Size : 48,48 MB
DOWNLOAD BOOK

Econometrics of Financial High-Frequency Data by Nikolaus Hautsch PDF Summary

Book Description: The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Disclaimer: www.yourbookbest.com does not own Econometrics of Financial High-Frequency Data books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

File Size : 2,2 MB
Total View : 2555 Views
DOWNLOAD

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based

High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

File Size : 68,68 MB
Total View : 2893 Views
DOWNLOAD

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based