{"product_id":"econometrics-of-financial-high-frequency-data-von-nikolaus-hautsch","title":"Econometrics of Financial High-Frequency Data","description":"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.\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783642427725\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783642219245\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9783642427725","offer_id":39431435976797,"sku":"9783642427725","price":181.89,"currency_code":"EUR","in_stock":true},{"title":"Hardcover - 9783642219245","offer_id":29092165419101,"sku":"9783642219245","price":181.89,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/cfcf5a1c-f02b-4ca3-abf6-f38be3736883.jpg?v=1779253771","url":"https:\/\/shop.autorenwelt.de\/products\/econometrics-of-financial-high-frequency-data-von-nikolaus-hautsch","provider":"Autorenwelt Shop","version":"1.0","type":"link"}