Econometrics of Financial High-Frequency Data

by Nikolaus Hautsch

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

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Year of publication:	2012
Authors:	Hautsch, Nikolaus
Publisher:	Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg
Subject:	Finanzmarkt \| Financial market \| Ökonometrisches Modell \| Econometric model \| Börsenhandel \| Volatilität \| Kapitalmarktforschung \| Ökonometrie
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Description [zbmath.org] ; Description [deposit.dnb.de]