The Econometric Of High-Frequency Data
β Scribed by R. F Engle
- Publisher
- National Bureau of Economic Research
- Year
- 1996
- Tongue
- English
- Leaves
- 19
- Series
- NBER working paper series
- Category
- Library
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
<p>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 i
Machine generated contents note: 1.Introduction -- 1.1.Motivation -- 1.2.Structure of the Book -- References -- 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 -- 2.1.4.Orde
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency
<p>The present study has been accepted as a doctoral thesis by the DepartΒ ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fiΒ