Econometrics of financial high-frequency data
Nikolaus Hautsch ([Springer, ], 2012)
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| [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.;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., 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.] |
 Econometrics of Financial High-Frequency Data.pdf :: Unduh
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| No. Panggil : | e20396676 |
| Entri utama-Nama orang : | |
| Subjek : | |
| Penerbitan : | Berlin: [Springer, ], 2012 |
| Sumber Pengatalogan: | LibUI eng rda |
| Tipe Konten: | text |
| Tipe Media: | computer |
| Tipe Pembawa: | online resource |
| Deskripsi Fisik: | xii, 371 pages : illustration |
| Tautan: | http://link.springer.com/book/10.1007%2F978-3-642-21925-2 |
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| No. Panggil | No. Barkod | Ketersediaan |
|---|---|---|
| e20396676 | TERSEDIA |
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| Tidak ada ulasan pada koleksi ini: 20396676 |
