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:	Finanzmarkt \| Financial market \| Ökonometrisches Modell \| Econometric model \| Zeitreihenanalyse \| Time series analysis \| Statistische Bestandsanalyse \| Duration analysis \| Dynamische Wirtschaftstheorie \| Economic dynamics

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