Econometrics of Financial High-Frequency Data
okt. 2011 · Springer Science & Business Media
3,0star
1 umsögnreport
Rafbók
374
Síður
reportEinkunnir og umsagnir eru ekki staðfestar Nánar
Um þessa rafbók
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
Einkunnir og umsagnir
3,0
1 umsögn
Um höfundinn
Nikolaus Hautsch, born 1972, is director of the Institute for Econometrics at the Department of Economics and Business Administration at the Humboldt-Universität zu Berlin since 2007. His research interests are financial econometrics, empirical finance and multivariate time series analysis. Particular focus is on the econometric modelling of financial high-frequency data, market microstructure analysis as well as volatility and liquidity estimation.
Gefa þessari rafbók einkunn.
Segðu okkur hvað þér finnst.
Upplýsingar um lestur
Snjallsímar og spjaldtölvur
Settu upp forritið Google Play Books fyrir Android og iPad/iPhone. Það samstillist sjálfkrafa við reikninginn þinn og gerir þér kleift að lesa með eða án nettengingar hvar sem þú ert.
Fartölvur og tölvur
Hægt er að hlusta á hljóðbækur sem keyptar eru í Google Play í vafranum í tölvunni.
Lesbretti og önnur tæki
Til að lesa af lesbrettum eins og Kobo-lesbrettum þarftu að hlaða niður skrá og flytja hana yfir í tækið þitt. Fylgdu nákvæmum leiðbeiningum hjálparmiðstöðvar til að flytja skrár yfir í studd lesbretti.
