Econometrics of Financial High-Frequency Data

• Main Author: Hautsch, Nikolaus (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2012.
• Subjects: Economics, Mathematical.; Econometrics.; Macroeconomics.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; Quantitative Finance.

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 incr...

Table of Contents:

• 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.