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...