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Economics - Econometrics / Statistics | Econometrics of Financial High-Frequency Data

Econometrics of Financial High-Frequency Data

Hautsch, Nikolaus

2012, XIV, 374 p.

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  • 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
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.

Content Level » Research

Keywords » Financial Point Processes - High-Frequency Econometrics - High-Frequency Volatility - Liquidity Dynamics - Market Microstructure Analysis

Related subjects » Econometrics / Statistics - Financial Economics - Quantitative Finance

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