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Econometrics of Financial High-Frequency Data
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ISBN
:
9783642219245
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Publisher
:
Springer
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Subject
:
Mathematics, Finance & Accounting, Economics
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Binding
:
HARDCOVER
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Pages
:
386
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Year
:
2011
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17059.0
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16376.0
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Description
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emergedto 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.
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