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Econometrics of Financial High-Frequency Data (Hardcover, 2012) Loot Price: R5,143
Discovery Miles 51 430
Econometrics of Financial High-Frequency Data (Hardcover, 2012): Nikolaus Hautsch

Econometrics of Financial High-Frequency Data (Hardcover, 2012)

Nikolaus Hautsch

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Loot Price R5,143 Discovery Miles 51 430 | Repayment Terms: R482 pm x 12*

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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.

General

Imprint: Springer-Verlag
Country of origin: Germany
Release date: October 2011
First published: 2012
Authors: Nikolaus Hautsch
Dimensions: 235 x 155 x 26mm (L x W x T)
Format: Hardcover
Pages: 374
Edition: 2012
ISBN-13: 978-3-642-21924-5
Categories: Books > Business & Economics > Finance & accounting > General
Books > Business & Economics > Economics > Econometrics > General
Books > Science & Mathematics > Mathematics > Optimization > Game theory
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LSN: 3-642-21924-1
Barcode: 9783642219245

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