Econometrics of Financial High-Frequency Data

Released on by Nikolaus Hautsch
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  • 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 : 68,68 MB
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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.

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