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Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models - Lecture Notes in Economics and Mathematical Systems Nikolaus Hautsch Softcover reprint of the original 1st ed. 2004 edition
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Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models - Lecture Notes in Economics and Mathematical Systems
Nikolaus Hautsch
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.
292 pages, 55 black & white illustrations, 48 black & white tables, biography
| Medios de comunicación | Libros Paperback Book (Libro con tapa blanda y lomo encolado) |
| Publicado | 6 de abril de 2004 |
| ISBN13 | 9783540211341 |
| Editores | Springer-Verlag Berlin and Heidelberg Gm |
| Páginas | 292 |
| Dimensiones | 155 × 235 × 16 mm · 453 g |
| Lengua | Inglés Alemán |
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