000			03006nam a22004455i 4500
001			978-3-642-21925-2
003			DE-He213
005			20140220083258.0
007			cr nn 008mamaa
008			111010s2012 gw | s |||| 0|eng d
020			_a9783642219252 _9978-3-642-21925-2
024	7		_a10.1007/978-3-642-21925-2 _2doi
050		4	_aHB139-141
072		7	_aKCH _2bicssc
072		7	_aBUS021000 _2bisacsh
082	0	4	_a330.015195 _223
100	1		_aHautsch, Nikolaus. _eauthor.
245	1	0	_aEconometrics of Financial High-Frequency Data _h[electronic resource] / _cby Nikolaus Hautsch.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2012.
300			_aXIV, 374 p. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
505	0		_a1 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.
520			_aThe 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.
650		0	_aEconomics.
650		0	_aFinance.
650		0	_aEconometrics.
650	1	4	_aEconomics/Management Science.
650	2	4	_aEconometrics.
650	2	4	_aFinancial Economics.
650	2	4	_aQuantitative Finance.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9783642219245
856	4	0	_uhttp://dx.doi.org/10.1007/978-3-642-21925-2
912			_aZDB-2-SBE
999			_c102010 _d102010