Modelling Irregularly Spaced Financial Data

Theory and Practice of Dynamic Duration Models

Nikolaus Hautsch - Collection Lecture Notes in Economics and Mathematical Systems

292 pages, parution le 03/05/2004

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Résumé

This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.

Written for:
Scientists, Researchers

Sommaire

Introduction
Point processes
Economic implications of financial durations
Statistical properties of financial durations
Autoregressive conditional duration models
Semiparametric dynamic proportional intensity models
Univariate and multivariate dynamic intensity models
Summary and conclusions

A Important distributions for duration data
B List of symbols

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Nikolaus Hautsch
Collection	Lecture Notes in Economics and Mathematical Systems
Parution	03/05/2004
Nb. de pages	292
Format	15,5 x 23,5
Couverture	Broché
Poids	455g
Intérieur	Noir et Blanc
EAN13	9783540211341