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.
| ISBN: | 9783540211341 |
| Publication date: | 6th April 2004 |
| Author: | Nikolaus Hautsch |
| Publisher: | Springer an imprint of Springer Berlin Heidelberg |
| Format: | Paperback |
| Pagination: | 291 pages |
| Series: | Lecture Notes in Economics and Mathematical Systems |
| Genres: |
Econometrics and economic statistics Finance and the finance industry Probability and statistics Applied mathematics Macroeconomics Economics, Finance, Business and Management |
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.
Modelling Irregularly Spaced Financial Data features in the following genres: Econometrics and economic statistics, Finance and the finance industry, Probability and statistics, Applied mathematics, Macroeconomics, Economics, Finance, Business and Management
Modelling Irregularly Spaced Financial Data is available in Paperback
Modelling Irregularly Spaced Financial Data was written by Nikolaus Hautsch and published by Springer an imprint of Springer Berlin Heidelberg
Modelling Irregularly Spaced Financial Data has 291 pages
Yes it is part of Lecture Notes in Economics and Mathematical Systems series