Vorliegende Sprache |
eng |
Hinweise auf parallele Ausgaben |
349726973 Buchausg. u.d.T.: ‡Hautsch, Nikolaus, 1972 - : Econometrics of financial high-frequency data |
ISBN |
978-3-642-21924-5 |
Name |
Hautsch, Nikolaus |
T I T E L |
Econometrics of Financial High-Frequency Data |
Verlagsort |
Berlin, Heidelberg |
Verlag |
Springer-Verlag Berlin Heidelberg |
Erscheinungsjahr |
2012 |
2012 |
Umfang |
Online-Ressource (XIII, 373p, digital) |
Reihe |
SpringerLink. Bücher |
Notiz / Fußnoten |
Description based upon print version of record |
Weiterer Inhalt |
Econometrics of Financial High-Frequency Data; Preface; Contents; Chapter 1: Introduction; 1.1 Motivation; 1.2 Structure of the Book; References; Chapter 2: Microstructure Foundations; 2.1 The Institutional Framework of Trading; 2.1.1 Types of Traders and Forms of Trading; 2.1.2 Types of Orders; 2.1.3 Market Structures; 2.1.3.1 Quote-Driven Dealer Markets; 2.1.3.2 Order-Driven Markets; 2.1.3.3 Brokered Markets; 2.1.4 Order Precedence and Pricing Rules; 2.1.5 Trading Forms at Selected International Exchanges; 2.1.5.1 The New York Stock Exchange (NYSE); 2.1.5.2 NASDAQ; 2.1.5.3 XETRA. 2.1.5.4 Australian Stock Exchange2.2 A Review of Market Microstructure Theory; 2.2.1 Asymmetric Information Based Models; 2.2.1.1 Sequential Trade Models; 2.2.1.2 Strategic Trade Models; 2.2.2 Inventory Models; 2.2.3 Major Implications for Trading Variables; 2.2.4 Models for Limit Order Book Markets; References; Chapter 3: Empirical Properties of High-Frequency Data; 3.1 Handling High-Frequency Data; 3.1.1 Databases and Trading Variables; 3.1.2 Matching Trades and Quotes; 3.1.3 Data Cleaning; 3.1.4 Split-Transactions; 3.1.5 Identification of Buyer- and Seller-Initiated Trades. 3.2 Aggregation by Trading Events: Financial Durations3.2.1 Trade and Order Arrival Durations; 3.2.2 Price and Volume Durations; 3.3 Properties of Financial Durations; 3.4 Properties of Trading Characteristics; 3.5 Properties of Time Aggregated Data; 3.6 Summary of Major Empirical Findings; References; Chapter 4: Financial Point Processes; 4.1 Basic Concepts of Point Processes; 4.1.1 Fundamental Definitions; 4.1.1.1 Point Processes; 4.1.1.2 Counting Processes; 4.1.1.3 Durations and Backward Recurrence Times; 4.1.1.4 Filtrations and (Time-Varying) Covariates; 4.1.2 Compensators and Intensities. 4.1.3 The Homogeneous Poisson Process4.1.4 Generalizations of Poisson Processes; 4.1.5 A Random Time Change Argument; 4.1.6 Intensity-Based Inference; 4.1.7 Simulation and Diagnostics; 4.2 Four Ways to Model Point Processes; 4.2.1 Intensity Models; 4.2.2 Hazard Models; 4.2.2.1 Proportional Hazard (PH) Models; 4.2.2.2 Accelerated Failure Time Models; 4.2.3 Duration Models; 4.2.4 Count Data Models; 4.3 Censoring and Time-Varying Covariates; 4.3.1 Censoring; 4.3.2 Time-Varying Covariates; 4.4 An Outlook on Dynamic Extensions; References; Chapter 5: Univariate Multiplicative Error Models. 5.1 ARMA Models for Log Variables5.2 A MEM for Durations: The ACD Model; 5.3 Estimation of the ACD Model; 5.3.1 QML Estimation; 5.3.2 ML Estimation; 5.4 Seasonalities and Explanatory Variables; 5.5 The Log-ACD Model; 5.6 Testing the ACD Model; 5.6.1 Portmanteau Tests; 5.6.2 Independence Tests; 5.6.3 Distribution Tests; 5.6.4 Lagrange Multiplier Tests; 5.6.5 Conditional Moment Tests; 5.6.5.1 Adapting Newey's Conditional Moment Test; 5.6.5.2 Integrated Conditional Moment Tests; 5.6.6 Monte Carlo Evidence; References; Chapter 6: Generalized Multiplicative Error Models. 6.1 A Class of Augmented ACD Models |
Titelhinweis |
Buchausg. u.d.T.: ‡Hautsch, Nikolaus, 1972 - : Econometrics of financial high-frequency data |
ISBN |
ISBN 978-3-642-21925-2 |
Klassifikation |
KCH |
BUS021000 |
*91-02 |
91G70 |
91B84 |
91B24 |
62P20 |
60G55 |
62P05 |
332.64015195 |
330.015195 |
330.1/5195 |
HB139-141 |
QH 330 |
Kurzbeschreibung |
1 Introduction -- 2 Microstructure Foundations -- 3 Empirical Properties of High-Frequency Data -- 4 Financial Point Processes -- 5 Univariate Multiplicative Error Models -- 6 Generalized Multiplicative Error Models -- 7 Vector Multiplicative Error Models -- 8 Modelling High-Frequency Volatility -- 9 Estimating Market Liquidity -- 10 Semiparametric Dynamic Proportional Hazard Models -- 11 Univariate Dynamic Intensity Models -- 12 Multivariate Dynamic Intensity Models -- 13 Autoregressive Discrete Processes and Quote Dynamics -- Appendix: Important Distributions for Positive-Value Data -- Index |
2. Kurzbeschreibung |
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 |
1. Schlagwortkette |
Börsenhandel |
Volatilität |
Ökonometrisches Modell |
1. Schlagwortkette ANZEIGE DER KETTE |
Börsenhandel -- Volatilität -- Ökonometrisches Modell |
2. Schlagwortkette |
Kapitalmarktforschung |
Ökonometrie |
ANZEIGE DER KETTE |
Kapitalmarktforschung -- Ökonometrie |
3. Schlagwortkette |
Börsenhandel |
Volatilität |
Ökonometrisches Modell |
ANZEIGE DER KETTE |
Börsenhandel -- Volatilität -- Ökonometrisches Modell |
4. Schlagwortkette |
Kapitalmarktforschung |
Ökonometrie |
ANZEIGE DER KETTE |
Kapitalmarktforschung -- Ökonometrie |
SWB-Titel-Idn |
355108267 |
Signatur |
Springer E-Book |
Bemerkungen |
Elektronischer Volltext - Campuslizenz |
Elektronische Adresse |
$uhttp://dx.doi.org/10.1007/978-3-642-21925-2 |
Internetseite / Link |
Volltext |
Siehe auch |
Inhaltstext |
Siehe auch |
Volltext |
Siehe auch |
Inhaltsverzeichnis |
Siehe auch |
Inhaltstext |