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
Authors:	BAUWENS, Luc ; HAUTSCH, Nikolaus
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	duration \| intensity \| point process \| high frequency data \| ACD models

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Extent:	application/pdf
Series:	CORE Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2006080
Classification:	C41 - Duration Analysis ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005043712