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Econometric Modelling of Stock Market Intraday Activity
Bauwens, Luc; Giot, Pierre
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Description for Econometric Modelling of Stock Market Intraday Activity
Paperback. Series: Advanced Studies in Theoretical and Applied Econometrics. Num Pages: 195 pages, biography. BIC Classification: KCA; KCH; KCL; KFFK. Category: (P) Professional & Vocational. Dimension: 240 x 160 x 11. Weight in Grams: 327.
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility ... Read more
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility ... Read more
Product Details
Format
Paperback
Publication date
2010
Publisher
Springer-Verlag New York Inc. United States
Number of pages
195
Condition
New
Series
Advanced Studies in Theoretical and Applied Econometrics
Number of Pages
180
Place of Publication
New York, NY, United States
ISBN
9781441949066
SKU
V9781441949066
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Bauwens, Luc; Giot, Pierre
Luc Bauwens is Professor of Economics at the Université catholique de Louvain, Belgium where he chairs the Department of Economics, and has been co-director of the Center for Operations Research and Econometrics (CORE) from 1992 to 1998. He has published several books and papers in the fields of Bayesian inference, time series methods, simulation and numerical methods in econometrics, as ... Read more
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