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 econometricsis driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well ashigh-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 ofhigh-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, providesinsights 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. Focus on theory and application. State-of-the-art econometric methods to model financial high-frequency data. Presents numerous applications, e.g. volatility and liquidy estimation. Discussion of implementation details and illustrations of data properties. INDICE: 1 Introduction. 2 Microstructure Foundations. 3 Empirical Properties of High-Frequency Data. 4 Financial Point Processes. 5 Univariate Multiplicative Error Models. 6 Generalized Multiplicative Error Models. 7 Vector Multiplicative Error Models. 8 Modelling High-Frequency Volatility. 9 Estimating Market Liquidity. 10 Semiparametric Dynamic Proportional Hazard Models. 11 Univariate Dynamic Intensity Models. 12 Multivariate Dynamic Intensity Models. 13 Autoregressive Discrete Processes and Quote Dynamics. Appendix: Important Distributions for Positive-Value Data. Index.
- ISBN: 978-3-642-21924-5
- Editorial: Springer Berlin Heidelberg
- Encuadernacion: Cartoné
- Páginas: 434
- Fecha Publicación: 31/10/2011
- Nº Volúmenes: 1
- Idioma: Inglés