Econometrics of Financial High-Frequency Data

Authors: Hautsch, Nikolaus

  • 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
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eBook $159.00
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  • ISBN 978-3-642-21925-2
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  • Immediate eBook download after purchase
Hardcover $209.00
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  • ISBN 978-3-642-21924-5
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  • Usually dispatched within 3 to 5 business days.
Softcover $209.00
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  • ISBN 978-3-642-42772-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

About the authors

Nikolaus Hautsch, born 1972, is director of the Institute for Econometrics at the Department of Economics and Business Administration at the Humboldt-Universit├Ąt 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.

Table of contents (13 chapters)

Buy this book

eBook $159.00
price for USA (gross)
  • ISBN 978-3-642-21925-2
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $209.00
price for USA
  • ISBN 978-3-642-21924-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $209.00
price for USA
  • ISBN 978-3-642-42772-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Econometrics of Financial High-Frequency Data
Authors
Copyright
2012
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-21925-2
DOI
10.1007/978-3-642-21925-2
Hardcover ISBN
978-3-642-21924-5
Softcover ISBN
978-3-642-42772-5
Edition Number
1
Number of Pages
XIV, 374
Topics