Econometrics of Financial High-Frequency Data

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Sprache: Englisch

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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.

Über den Autor

Nikolaus Hautsch, born 1972, is director of the Institute for Econometrics at the Department of Economics and Business Administration at the Humboldt-Universität zu Berlin since 2007. His research interests are financial econometrics, empirical finance and multivariate time series analysis. Particular focus is on the econometric modelling of financial high-frequency data, market microstructure analysis as well as volatility and liquidity estimation.

Zusammenfassung

Focus on theory and application

State-of-the-art econometric methods to model financial high-frequency data

Presents numerous applications, e.g. volatility and liquidy estimation

Discussion of implementation details and illustrations of data properties

Includes supplementary material: [...]

Inhaltsverzeichnis

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.

Details

Erscheinungsjahr:	2011
Fachbereich:	Allgemeines
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Inhalt:	xiv 374 S.
ISBN-13:	9783642219245
ISBN-10:	3642219241
Sprache:	Englisch
Herstellernummer:	80065331
Ausstattung / Beilage:	HC runder Rücken kaschiert
Einband:	Gebunden
Autor:	Hautsch, Nikolaus
Hersteller:	Springer-Verlag GmbH Springer Berlin Heidelberg
Maße:	241 x 160 x 27 mm
Von/Mit:	Nikolaus Hautsch
Erscheinungsdatum:	12.10.2011
Gewicht:	0,746 kg

Artikel-ID: 106920807