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Modelling Financial High Frequency Data Using Point Processes

  • Luc BauwensEmail author
  • Nikolaus Hautsch
Chapter

Abstract

We survey the modelling of financial markets transaction data characterized by irregular spacing in time, in particular so-called financial durations.We begin by reviewing the important concepts of point process theory, such as intensity functions, compensators and hazard rates, and then the intensity, duration, and counting representations of point processes. Next, in two separate sections, we review dynamic duration models, especially autoregressive conditional duration models, and dynamic intensity models (Hawkes and autoregressive intensity processes). In each section, we discuss model specification, statistical inference and applications.

Keywords

Point Process Hazard Rate Intensity Function GARCH Model Duration Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.COREUniversité catholique de LouvainLouvain-la-NeuveBelgium
  2. 2.Center for Applied Statistics and EconomicsHumboldt-Universität zu BerlinBerlinGermany

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