Econometrics of Financial High-Frequency Data
out. de 2011 · Springer Science & Business Media
3,0star
1 avaliaçãoreport
E-book
374
Páginas
reportAs notas e avaliações não são verificadas Saiba mais
Sobre este e-book
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.
Classificações e resenhas
3,0
1 avaliação
Sobre o autor
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.
Avaliar este e-book
Diga o que você achou
Informações de leitura
Smartphones e tablets
Instale o app Google Play Livros para Android e iPad/iPhone. Ele sincroniza automaticamente com sua conta e permite ler on-line ou off-line, o que você preferir.
Laptops e computadores
Você pode ouvir audiolivros comprados no Google Play usando o navegador da Web do seu computador.
eReaders e outros dispositivos
Para ler em dispositivos de e-ink como os e-readers Kobo, é necessário fazer o download e transferir um arquivo para o aparelho. Siga as instruções detalhadas da Central de Ajuda se quiser transferir arquivos para os e-readers compatíveis.
