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Hardcover - 9783642219245
181,89 €
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Beschreibung
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.
Details
| Verlag | Springer Berlin |
| Ersterscheinung | 29. November 2013 |
| Maße | 23.5 cm x 15.5 cm |
| Gewicht | 587 Gramm |
| Format | Softcover |
| ISBN-13 | 9783642427725 |
| Auflage | 2012 |
| Seiten | 374 |
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