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Sinopsis
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.
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Acerca del 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.
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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.
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Econometrics of Financial High-Frequency Data
Publicado por
Springer Berlin Heidelberg Nov 2013, 2013
ISBN 10: 3642427723
ISBN 13: 9783642427725
Nuevo
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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 388 pp. Englisch. Nº de ref. del artículo: 9783642427725
Cantidad disponible: 2 disponibles
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Econometrics of Financial High-Frequency Data
Publicado por
Springer Berlin Heidelberg, 2013
ISBN 10: 3642427723
ISBN 13: 9783642427725
Nuevo
Tapa blanda
Librería: moluna, Greven, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Focus on theory and application State-of-the-art econometric methods to model financial high-frequency data Presents numerous applications, e.g. volatility and liquidy estimation Discussion of implementation details and illustrations. Nº de ref. del artículo: 5060424
Cantidad disponible: Más de 20 disponibles
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Hautsch:Econometrics of Financial High- (eng)
Impresión bajo demandaLibrería: Brook Bookstore On Demand, Napoli, NA, Italia
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Condición: new. Questo è un articolo print on demand. Nº de ref. del artículo: 0be169c029ab52d003946cecd6c4e7db
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Econometrics of Financial High-Frequency Data
Publicado por
Springer Berlin Heidelberg, 2013
ISBN 10: 3642427723
ISBN 13: 9783642427725
Nuevo
Taschenbuch
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Nº de ref. del artículo: 9783642427725
Cantidad disponible: 1 disponibles
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Econometrics of Financial High-Frequency Data
Librería: Ria Christie Collections, Uxbridge, Reino Unido
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Condición: New. In. Nº de ref. del artículo: ria9783642427725_new
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Econometrics of Financial High-Frequency Data
Publicado por
Springer Berlin Heidelberg, Springer Berlin Heidelberg Nov 2013, 2013
ISBN 10: 3642427723
ISBN 13: 9783642427725
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 388 pp. Englisch. Nº de ref. del artículo: 9783642427725
Cantidad disponible: 1 disponibles
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Econometrics of Financial High-Frequency Data
Librería: Best Price, Torrance, CA, Estados Unidos de America
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Condición: New. SUPER FAST SHIPPING. Nº de ref. del artículo: 9783642427725
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