Econometrics of Financial High-Frequency Data

✍ Scribed by Nikolaus Hautsch (auth.)

• Publisher: Springer-Verlag Berlin Heidelberg
• Year: 2012
• Tongue: English
• Leaves: 386
• Edition: 1
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

Front Matter....Pages i-xiii
Introduction....Pages 1-8
Microstructure Foundations....Pages 9-26
Empirical Properties of High-Frequency Data....Pages 27-68
Financial Point Processes....Pages 69-98
Univariate Multiplicative Error Models....Pages 99-142
Generalized Multiplicative Error Models....Pages 143-175
Vector Multiplicative Error Models....Pages 177-194
Modelling High-Frequency Volatility....Pages 195-224
Estimating Market Liquidity....Pages 225-244
Semiparametric Dynamic Proportional Hazard Models....Pages 245-272
Univariate Dynamic Intensity Models....Pages 273-289
Multivariate Dynamic Intensity Models....Pages 291-330
Autoregressive Discrete Processes and Quote Dynamics....Pages 331-355
Back Matter....Pages 357-371

✦ Subjects

Econometrics; Financial Economics; Quantitative Finance