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:	2006-09-01
Authors:	Luc, BAUWENS ; Nikolaus, HAUTSCH
Institutions:	Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
Subject:	Duration \| Intensity \| Point process \| High frequency data \| ACD models

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Extent:	application/pdf
Series:	Discussion Papers (ECON - Département des Sciences Economiques).
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Sciences Economiques Number 2006039 3 pages long
Classification:	C41 - Duration Analysis ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004984822