Modelling Financial High Frequency Data Using Point Processes

In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models

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Year of publication:	2006
Authors:	Hautsch, Nikolaus ; Bauwens, Luc
Publisher:	[S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Finanzmarkt \| Financial market \| Dynamische Wirtschaftstheorie \| Economic dynamics \| Ökonometrisches Modell \| Econometric model \| Statistische Bestandsanalyse \| Duration analysis

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Extent:	1 Online-Ressource (31 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2006 erstellt
Other identifiers:	10.2139/ssrn.945107 [DOI]
Classification:	C41 - Duration Analysis ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014054570