Last edited by Groran
Tuesday, May 5, 2020 | History

4 edition of Econometrics of financial high-frequency data found in the catalog.

Econometrics of financial high-frequency data

by Nikolaus Hautsch

  • 394 Want to read
  • 22 Currently reading

Published by Springer in Berlin .
Written in English

    Subjects:
  • Foreign exchange rates,
  • Econometric models,
  • Finance,
  • Econometrics

  • Edition Notes

    Includes bibliographical references and index.

    StatementNikolaus Hautsch
    Classifications
    LC ClassificationsHG106 .H378 2012
    The Physical Object
    Paginationxiii, 371 :
    Number of Pages371
    ID Numbers
    Open LibraryOL25366925M
    ISBN 103642219241
    ISBN 109783642219245
    LC Control Number2011938813

    Financial econometrics brings financial theory and econometric methods together with the power of data to advance understanding of the global financial universe upon which all modern economies depend. Financial Econometric Modeling is an introductory text that meets the learning challenge of integrating theory, measurement, data, and software to understand the modern .   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 Author: Luc Bauwens.

    They cover both the practical side of financial data and the mathematical theory of stochastic processes, and show how to connect the two. High-Frequency Financial Econometrics is a must-read for academics and practitioners alike."—Per Mykland, University of Chicago "This book is simply breathtaking. High-Frequency Financial Econometrics is a. We begin this section with a general discussion of the types of high-frequency data currently available. With the advancement and integration of computers in financial markets, data sets containing detailed information about market transactions are now commonplace. High-frequency data generally refers to data that is collected at a very rapid by:

    This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that .


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Econometrics of financial high-frequency data by Nikolaus Hautsch Download PDF EPUB FB2

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 Brand: Springer-Verlag Berlin Heidelberg. This text is a great resource for PhD-level courses and a great reference for researchers in the area of high-frequency financial econometrics.

It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature."Cited by: 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 by: High-Frequency Financial Econometrics is a must-read for academics and practitioners alike."—Per Mykland, University of Chicago "This comprehensive and accessible book provides a valuable introduction to the recently developed tools for modeling and inference based on very high-frequency financial data.

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.

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially.

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown by: 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 : Nikolaus Hautsch.

Book Description: High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially.

This book covers major approaches in high-frequency econometrics. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications.

Book review Econometrics of Financial High-Frequency Data, by Nikolaus Hautsch, Springer (). ISBN Nikolaus Hautsch extends and updates his earlier book on econometric models for financial trading data for scholars and practitioners. The new book is timely and highly recommended because the past decade has wit.

It discusses implementation particulars, provides insights into properties of high-frequency data along with institutional settings and presents functions to volatility and liquidity estimation, order book modelling and market microstructure analysis.

How to Download Econometrics of Financial High-Frequency Data Pdf. High-Frequency Financial Econometrics - Ebook written by Yacine Aït-Sahalia, Jean Jacod. Read this book using Google Play Books app on your PC, android, iOS devices. Download for offline reading, highlight, bookmark or take notes while you 4/5(1).

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 Brand: Springer Berlin Heidelberg.

Open Library is an open, editable library catalog, building towards a web page for every book ever published. Econometrics of financial high-frequency data by Nikolaus Hautsch,Springer edition, paperback. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to.

Presents cutting-edge developments in high frequency financial econometrics Sheds light on some of the most pressing open questions in the analysis of high frequency data Spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling.

Nikolaus Hautsch, "Econometrics of Financial High-Frequency Data," Springer Books, Springer, number Handle: RePEc:spr:sprbok DOI: /Cited by: Extreme-frequency trading is an algorithm-based computerized trading comply with that allows corporations to commerce shares in milliseconds.

Over the past fifteen years, utilizing statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. Download and Read Free Online High-Frequency Financial Econometrics Yacine Aït-Sahalia, Jean Jacod From reader reviews: Ted Bryant: This book untitled High-Frequency Financial Econometrics to be one of several books this best seller in this year, honestly, that is because when you read this book you can get a lot of benefit on it.

You will. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods.

Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work.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.At the same time, the financial econometrics literature has recommended the use of high-frequency (also called intraday) data for the estimation of financial risk (e.g., Engle (), Ghysels et al.

()). Because of recent advances in information technology, these data are more easily available and pose less computational challenges. Since.