Authors:
- 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 of data properties
- Includes supplementary material: sn.pub/extras
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Table of contents (13 chapters)
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Front Matter
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Back Matter
About this book
Authors and Affiliations
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Inst. Statistik und Ökonometrie, Humboldt-Universität Berlin, Berlin, Germany
Nikolaus Hautsch
About the author
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.
Bibliographic Information
Book Title: Econometrics of Financial High-Frequency Data
Authors: Nikolaus Hautsch
DOI: https://doi.org/10.1007/978-3-642-21925-2
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2012
Hardcover ISBN: 978-3-642-21924-5Published: 12 October 2011
Softcover ISBN: 978-3-642-42772-5Published: 29 November 2013
eBook ISBN: 978-3-642-21925-2Published: 12 October 2011
Edition Number: 1
Number of Pages: XIV, 374
Topics: Econometrics, Macroeconomics/Monetary Economics//Financial Economics, Quantitative Finance