Econometrics of Financial High-Frequency Data

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Springer Science & Business Media, Oct 12, 2011 - Business & Economics - 374 pages
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.
 

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Contents

Introduction
1
Microstructure Foundations
9
Empirical Properties of HighFrequency Data
27
Financial Point Processes
69
Univariate Multiplicative Error Models
99
Generalized Multiplicative Error Models
143
Vector Multiplicative Error Models
177
Modelling HighFrequency Volatility
195
Estimating Market Liquidity
225
Semiparametric Dynamic Proportional Hazard Models
245
Univariate Dynamic Intensity Models
273
Multivariate Dynamic Intensity Models
291
Autoregressive Discrete Processes and Quote Dynamics
331
Important Distributions for PositiveValued Data
357
Index
365
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About the author (2011)

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

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