Articoli correlati a Econometrics of Financial High-Frequency Data
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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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Informazioni sull?autore
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 Hautsch, Nikolaus
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Hardcover. Condizione: gebraucht; sehr gut. Hardcover, relativ wenige delikate Bleistiftmarkierungen radierbar, allgemein gepflegter Zustand. Codice articolo 184-4-1-39
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Econometrics of Financial High-Frequency Data
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Gebunden. Condizione: 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. Codice articolo 5052715
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Hautsch:Econometrics of Financial High- (eng)
Print on DemandDa: Brook Bookstore On Demand, Napoli, NA, Italia
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Condizione: new. Questo è un articolo print on demand. Codice articolo 02e0036029392bf4b16978d84aa59c6b
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Econometrics of Financial High-Frequency Data
Editore:
Springer Berlin Heidelberg Okt 2011, 2011
ISBN 10: 3642219241
ISBN 13: 9783642219245
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Buch. Condizione: 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. Codice articolo 9783642219245
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Econometrics of Financial High-Frequency Data
Da: AHA-BUCH GmbH, Einbeck, Germania
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Buch. Condizione: 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. Codice articolo 9783642219245
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Econometrics of Financial High-Frequency Data
ISBN 10: 3642219241
ISBN 13: 9783642219245
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Buch. Condizione: Neu. 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. Codice articolo 9783642219245
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Econometrics of Financial High-Frequency Data
Da: Ria Christie Collections, Uxbridge, Regno Unito
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Condizione: New. In. Codice articolo ria9783642219245_new
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Econometrics of Financial High-Frequency Data
Editore:
Springer (edition 2012), 2011
ISBN 10: 3642219241
ISBN 13: 9783642219245
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Da: BooksRun, Philadelphia, PA, U.S.A.
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Hardcover. Condizione: Very Good. 2012. Ship within 24hrs. Satisfaction 100% guaranteed. APO/FPO addresses supported. Codice articolo 3642219241-8-1
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Econometrics of Financial High-Frequency Data
Da: Books Puddle, New York, NY, U.S.A.
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Condizione: New. pp. 388. Codice articolo 2651403439
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Econometrics of Financial High-Frequency Data
Da: California Books, Miami, FL, U.S.A.
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Condizione: New. Codice articolo I-9783642219245
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