Econometrics of Financial High-Frequency Data

By Nikolaus Hautsch

Book Overview

1 Introduction.- 2 Microstructure Foundations.- 3 Empirical Properties of High-Frequency Data.- 4 Financial Point Processes.- 5 Univariate Multiplicative Error Models.- 6 Generalized Multiplicative Error Models.- 7 Vector Multiplicative Error Models.- 8 Modelling High-Frequency Volatility.- 9 Estimating Market Liquidity.- 10 Semiparametric Dynamic Proportional Hazard Models.- 11 Univariate Dynamic Intensity Models.- 12 Multivariate Dynamic Intensity Models.- 13 Autoregressive Discrete Processes and Quote Dynamics.- Appendix: Important Distributions for Positive-Value Data.- Index.

• Format: Paperback
• Language: English
• ISBN: 3642427723
• ISBN13: 9783642427725
• Release Date: November 2013
• Publisher: Springer
• Length: 374 Pages
• Weight: 1.19 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"