9783540211341 - Modelling Irregularly Spaced Financial Data: Theory And Practice Of Dynamic Duration Models: 539 (Lecture Notes in Economics and Mathematical Systems, 539) de Hauts... (13 resultados)

paperback. Condición: Gut. 304 Seiten; 9783540211341.3 Gewicht in Gramm: 1.

Condición: New. In.

Condición: Fair. Volume 539. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In fair condition, suitable as a study copy. Library sticker on front cover. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,550grams, ISBN:9783540211341.

Condición: New. pp. 308.

paperback. Condición: New. In shrink wrap. Looks like an interesting title!

Taschenbuch. Condición: Neu. Modelling Irregularly Spaced Financial Data | Theory and Practice of Dynamic Duration Models | Nikolaus Hautsch | Taschenbuch | Lecture Notes in Economics and Mathematical Systems | xii | Englisch | 2004 | Springer | EAN 9783540211341 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book has been written as a doctoral dissertation at the Department of Economics at the University of Konstanz. I am indebted to my supervisor Winfried Pohlmeier for providing a stimulating and pleasant research en- ronment and his continuous support during my doctoral studies. I strongly bene tted from inspiring discussions with him, his valuable advices and he- ful comments regarding the contents and the exposition of this book. I am grateful to Luc Bauwens for refereeing my work as a second super- sor. Moreover, I wish to thank him for o ering me the possibility of a research visit at the Center of Operations Research and Econometrics (CORE) at the Universit e Catholique de Louvain. Important parts of this book have been conceived during this period. Similarly, I am grateful to Tony Hall who invited me for a research visit at the University of Technology, Sydney, and provided me access to an excellent database from the Australian Stock Exchange. I would like to thank him for his valuable support and the permission to use this data for empirical studies in this book. I wish to thank my colleagues at the University of Konstanz Frank G- hard,DieterHess,JoachimInkmann,MarkusJochmann,StefanKlotz,Sandra Lechner and Ingmar Nolte who o ered me advice, inspiration, friendship and successfulco-operations.Moreover,Iamgratefultothestudentresearchass- tantsat the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle Tucker and Nadine Warmuth who did a lot of editing work.

Paperback. Condición: Like New. Like New. book.

Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book has been written as a doctoral dissertation at the Department of Economics at the University of Konstanz. I am indebted to my supervisor Winfried Pohlmeier for providing a stimulating and pleasant research en- ronment and his continuous support during my doctoral studies. I strongly bene tted from inspiring discussions with him, his valuable advices and he- ful comments regarding the contents and the exposition of this book. I am grateful to Luc Bauwens for refereeing my work as a second super- sor. Moreover, I wish to thank him for o ering me the possibility of a research visit at the Center of Operations Research and Econometrics (CORE) at the Universit e Catholique de Louvain. Important parts of this book have been conceived during this period. Similarly, I am grateful to Tony Hall who invited me for a research visit at the University of Technology, Sydney, and provided me access to an excellent database from the Australian Stock Exchange. I would like to thank him for his valuable support and the permission to use this data for empirical studies in this book. I wish to thank my colleagues at the University of Konstanz Frank G- hard,DieterHess,JoachimInkmann,MarkusJochmann,StefanKlotz,Sandra Lechner and Ingmar Nolte who o ered me advice, inspiration, friendship and successfulco-operations.Moreover,Iamgratefultothestudentresearchass- tantsat the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle Tucker and Nadine Warmuth who did a lot of editing work. 304 pp. Englisch.

Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 1 Introduction.- 2 Point Processes.- 2.1 Basic Concepts of Point Processes.- 2.1.1 Fundamental Definitions.- 2.1.2 The Homogeneous Poisson Process.- 2.1.3 The Intensity Function and its Properties.- 2.1.4 Intensity-Based Inference.- 2.2 Types of Point Proce.

Condición: New. Print on Demand pp. 308 Illus.

Condición: New. PRINT ON DEMAND pp. 308.

Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -1 Introduction.- 2 Point Processes.- 2.1 Basic Concepts of Point Processes.- 2.2 Types of Point Processes.- 2.3 Non-Dynamic Point Process Models.- 2.4 Censoring and Time-Varying Covariates.- 2.5 Outlook on Dynamic Extensions.- 3 Economic Implications of Financial Durations.- 3.1 Types of Financial Durations.- 3.2 The Role of Trade Durations in Market Microstructure Theory.- 3.3 Risk Estimation based on Price Durations.- 3.4 Liquidity Measurement.- 4 Statistical Properties of Financial Durations.- 4.1 Data Preparation Issues.- 4.2 Transaction Databases and Data Preparation.- 4.3 Statistical Properties of Trade, Limit Order and Quote Durations.- 4.4 Statistical Properties of Price Durations.- 4.5 Statistical Properties of (Excess) Volume Durations.- 4.6 Summarizing the Statistical Findings.- 5 Autoregressive Conditional Duration Models.- 5.1 ARMA Models for (Log-)Durations.- 5.2 The ACD Model.- 5.3 Extensions of the ACD Framework.- 5.4 Testing the ACD Model.- 5.5 Applications of ACD Models.- 6 Semiparametric Dynamic Proportional Intensity Models.- 6.1 Dynamic Integrated Intensity Processes.- 6.2 The Semiparametric ACPI Model.- 6.3 Properties of the Semiparametric ACPI Model.- 6.4 Extensions of the ACPI Model.- 6.5 Testing the ACPI Model.- 6.6 Estimating Volatility Using the ACPI Model.- 7 Univariate and Multivariate Dynamic Intensity Models.- 7.1 Univariate Dynamic Intensity Models.- 7.2 Multivariate Dynamic Intensity Models.- 7.3 Dynamic Latent Factor Models for Intensity Processes.- 7.4 Applications of Dynamic Intensity Models.- 8 Summary and Conclusions.- A Important Distributions for Duration Data.- B List of Symbols (in Alphabetical Order).- References.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 304 pp. Englisch.