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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