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Econometrics of Financial High-Frequency Data Nikolaus Hautsch Author
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ISBN: 9783642219245

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 gro… mais…

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Econometrics of Financial High-Frequency Data
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Econometrics of Financial High-Frequency Data - nuovo livro

ISBN: 9783642219245

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 gro… mais…

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Hautsch, Nikolaus:
Econometrics of Financial High-Frequency Data - encadernada, livro de bolso

2011

ISBN: 9783642219245

Springer, Gebundene Ausgabe, Auflage: 2012, 388 Seiten, Publiziert: 2011-10-12T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 40 black & white tables, biography, 1.64 kg, Recht, Kategori… mais…

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Econometrics of Financial High-Frequency Data - Hautsch, Nikolaus
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Hautsch, Nikolaus:
Econometrics of Financial High-Frequency Data - encadernada, livro de bolso

2011, ISBN: 9783642219245

Springer, Gebundene Ausgabe, Auflage: 2012, 388 Seiten, Publiziert: 2011-10-12T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 40 black & white tables, biography, 1.64 kg, Recht, Kategori… mais…

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Econometrics of Financial High-Frequency Data - Hautsch, Nikolaus
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Hautsch, Nikolaus:
Econometrics of Financial High-Frequency Data - encadernada, livro de bolso

2011, ISBN: 9783642219245

Springer, Gebundene Ausgabe, Auflage: 2012, 388 Seiten, Publiziert: 2011-10-12T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 40 black & white tables, biography, 1.64 kg, Recht, Kategori… mais…

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Econometrics of Financial High-Frequency Data Nikolaus Hautsch Author

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.

Dados detalhados do livro - Econometrics of Financial High-Frequency Data Nikolaus Hautsch Author


EAN (ISBN-13): 9783642219245
ISBN (ISBN-10): 3642219241
Livro de capa dura
Livro de bolso
Ano de publicação: 2011
Editor/Editora: Springer Berlin Heidelberg Core >2
373 Páginas
Peso: 0,717 kg
Língua: Englisch

Livro na base de dados desde 2007-12-23T12:26:09-02:00 (Sao Paulo)
Página de detalhes modificada pela última vez em 2023-11-26T14:56:35-03:00 (Sao Paulo)
Número ISBN/EAN: 9783642219245

Número ISBN - Ortografia alternativa:
3-642-21924-1, 978-3-642-21924-5
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: hautsch, haut, below nikolaus, stock
Título do livro: econometrics, data, high frequency


Dados da editora

Autor: Nikolaus Hautsch
Título: Econometrics of Financial High-Frequency Data
Editora: Springer; Springer Berlin
374 Páginas
Ano de publicação: 2011-10-12
Berlin; Heidelberg; DE
Impresso / Feito em
Peso: 0,746 kg
Língua: Inglês
181,89 € (DE)
186,99 € (AT)
200,50 CHF (CH)
POD
XIV, 374 p.

BB; Econometrics; Hardcover, Softcover / Wirtschaft/Allgemeines, Lexika; Ökonometrie und Wirtschaftsstatistik; Verstehen; Wirtschaft; Financial Point Processes; High-Frequency Econometrics; High-Frequency Volatility; Liquidity Dynamics; Market Microstructure Analysis; quantitative finance; Macroeconomics/Monetary Economics//Financial Economics; Quantitative Finance; Econometrics; Macroeconomics and Monetary Economics; Mathematics in Business, Economics and Finance; Makroökonomie; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC; EA

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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