ISBN: 9783642219252
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 grow… Plus…
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2011, ISBN: 9783642219252
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 gro… Plus…
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ISBN: 9783642219252
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 gro… Plus…
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ISBN: 9783642219252
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 gro… Plus…
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2011, ISBN: 9783642219252
eBooks, eBook Download (PDF), Auflage, [PU: Springer-Verlag], Seiten: 374, [ED: 1], Springer-Verlag, 2011
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ISBN: 9783642219252
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 grow… Plus…
2011, ISBN: 9783642219252
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 gro… Plus…
ISBN: 9783642219252
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 gro… Plus…
ISBN: 9783642219252
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 gro… Plus…
2011, ISBN: 9783642219252
eBooks, eBook Download (PDF), Auflage, [PU: Springer-Verlag], Seiten: 374, [ED: 1], Springer-Verlag, 2011
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Informations détaillées sur le livre - Econometrics of Financial High-Frequency Data
EAN (ISBN-13): 9783642219252
ISBN (ISBN-10): 364221925X
Date de parution: 2011
Editeur: Springer-Verlag
373 Pages
Langue: eng/Englisch
Livre dans la base de données depuis 2012-10-31T21:23:35+01:00 (Paris)
Page de détail modifiée en dernier sur 2023-11-26T18:56:35+01:00 (Paris)
ISBN/EAN: 9783642219252
ISBN - Autres types d'écriture:
3-642-21925-X, 978-3-642-21925-2
Autres types d'écriture et termes associés:
Auteur du livre: haut, below nikolaus
Titre du livre: data, econometrics, high frequency
Données de l'éditeur
Auteur: Nikolaus Hautsch
Titre: Econometrics of Financial High-Frequency Data
Editeur: Springer; Springer Berlin
374 Pages
Date de parution: 2011-10-12
Berlin; Heidelberg; DE
Langue: Anglais
171,19 € (DE)
176,00 € (AT)
201,00 CHF (CH)
Available
XIV, 374 p.
EA; E107; eBook; Nonbooks, PBS / Wirtschaft/Volkswirtschaft; Ökonometrie und Wirtschaftsstatistik; Verstehen; Financial Point Processes; High-Frequency Econometrics; High-Frequency Volatility; Liquidity Dynamics; Market Microstructure Analysis; quantitative finance; B; Econometrics; Macroeconomics and Monetary Economics; Mathematics in Business, Economics and Finance; Economics and Finance; Makroökonomie; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC
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.Focus on theory and application State-of-the-art econometric methods to model financial high-frequency data Presents numerous applications, e.g. volatility and liquidy estimation Discussion of implementation details and illustrations of data properties Includes supplementary material: sn.pub/extras
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