2012

Econometrics of Financial High-Frequency Data

Authors:

ISBN: 978-3-642-21924-5 (Print) 978-3-642-21925-2 (Online)

Table of contents (13 chapters)

  1. Front Matter

    Pages i-xiii

  2. No Access

    Book Chapter

    Pages 1-8

    Introduction

  3. No Access

    Book Chapter

    Pages 9-26

    Microstructure Foundations

  4. No Access

    Book Chapter

    Pages 27-68

    Empirical Properties of High-Frequency Data

  5. No Access

    Book Chapter

    Pages 69-98

    Financial Point Processes

  6. No Access

    Book Chapter

    Pages 99-142

    Univariate Multiplicative Error Models

  7. No Access

    Book Chapter

    Pages 143-175

    Generalized Multiplicative Error Models

  8. No Access

    Book Chapter

    Pages 177-194

    Vector Multiplicative Error Models

  9. No Access

    Book Chapter

    Pages 195-224

    Modelling High-Frequency Volatility

  10. No Access

    Book Chapter

    Pages 225-244

    Estimating Market Liquidity

  11. No Access

    Book Chapter

    Pages 245-272

    Semiparametric Dynamic Proportional Hazard Models

  12. No Access

    Book Chapter

    Pages 273-289

    Univariate Dynamic Intensity Models

  13. No Access

    Book Chapter

    Pages 291-330

    Multivariate Dynamic Intensity Models

  14. No Access

    Book Chapter

    Pages 331-355

    Autoregressive Discrete Processes and Quote Dynamics

  15. Back Matter

    Pages 357-371