Econometrics of Financial High-Frequency Data
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.
What people are saying - Write a review
We haven't found any reviews in the usual places.
Other editions - View all
ˇ ˇ ˇ ACD model aggregation ask and bid autocorrelation autoregressive autoregressive conditional baseline hazard Bauwens bid-ask spreads CACF capture Chap component computed conditional mean function corresponding covariates cumulated denotes density depth Deutsche Telekom Deutsche Telekom XETRA discussed duration models duration process dynamics Econom Econometrics error exponential distribution financial durations gamma distribution GARCH Gerhard and Hautsch given hazard function Hence High-Frequency Data integrated intensity function interval intraday JP Morgan JP Morgan NYSE kernel latent factor likelihood function limit order book liquidity log likelihood market microstructure matrix Microsoft Microsoft NASDAQ midquote Morgan and Microsoft MSFT multivariate NASDAQ number of trades NYSE observable parameterization parameters point processes Poisson distribution Poisson process price changes price durations proposed quadratic variation random variables residuals Sample period Sect semiparametric specification standard statistics stochastic time-varying trade durations trade sizes trade-to-trade trading volume underlying variance vector volatility XETRA