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Econometrics of Financial High-Frequency Data
Nikolaus Hautsch
€ 229.13
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Description for Econometrics of Financial High-Frequency Data
Hardback. This book covers major approaches in high-frequency econometrics. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications. Num Pages: 374 pages, 40 black & white tables, biography. BIC Classification: KCH; KF; PBUD. Category: (P) Professional & Vocational. Dimension: 165 x 243 x 26. Weight in Grams: 714.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2011
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
374
Condition
New
Number of Pages
374
Place of Publication
Berlin, Germany
ISBN
9783642219245
SKU
V9783642219245
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Nikolaus Hautsch
Nikolaus Hautsch, born 1972, is director of the Institute for Econometrics at the Department of Economics and Business Administration at the Humboldt-Universität 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. ... Read more
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