Econometrics of Financial High-Frequency Data
Nikolaus Hautsch, "Econometrics of Financial High-Frequency Data"
Sp,.,.er | 2012 | ISBN: 3642219241 | 386 pages | PDF | 7,2 MB
Sp,.,.er | 2012 | ISBN: 3642219241 | 386 pages | PDF | 7,2 MB
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.