Econometrics of Financial High-Frequency Data

  • Nikolaus Hautsch

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Nikolaus Hautsch
    Pages 1-8
  3. Nikolaus Hautsch
    Pages 9-26
  4. Nikolaus Hautsch
    Pages 27-68
  5. Nikolaus Hautsch
    Pages 69-98
  6. Nikolaus Hautsch
    Pages 99-142
  7. Nikolaus Hautsch
    Pages 143-175
  8. Nikolaus Hautsch
    Pages 177-194
  9. Nikolaus Hautsch
    Pages 195-224
  10. Nikolaus Hautsch
    Pages 225-244
  11. Nikolaus Hautsch
    Pages 245-272
  12. Nikolaus Hautsch
    Pages 273-289
  13. Nikolaus Hautsch
    Pages 291-330
  14. Back Matter
    Pages 357-371

About this book

Introduction

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.

Keywords

Financial Point Processes High-Frequency Econometrics High-Frequency Volatility Liquidity Dynamics Market Microstructure Analysis

Authors and affiliations

  • Nikolaus Hautsch
    • 1
  1. 1.Inst. Statistik und ÖkonometrieHumboldt-Universität BerlinBerlinGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-21925-2
  • Copyright Information Springer-Verlag Berlin Heidelberg 2012
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-642-21924-5
  • Online ISBN 978-3-642-21925-2
  • About this book