Econometrics of Financial High-Frequency Data
by Nikolaus Hautsch
| Year of publication: |
2012
|
|---|---|
| Authors: | Hautsch, Nikolaus |
| Publisher: |
Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg |
| Subject: | Finanzmarkt | Financial market | Ökonometrisches Modell | Econometric model | Börsenhandel | Volatilität | Kapitalmarktforschung | Ökonometrie |
| Description of contents: | Table of Contents [swbplus.bsz-bw.de] ; Description [zbmath.org] ; Description [deposit.dnb.de] |
| Extent: | Online-Ressource (XIII, 373p, digital) |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Description based upon print version of record Econometrics of Financial High-Frequency Data; Preface; Contents; Chapter 1: Introduction; 1.1 Motivation; 1.2 Structure of the Book; References; Chapter 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; 2.1.3.1 Quote-Driven Dealer Markets; 2.1.3.2 Order-Driven Markets; 2.1.3.3 Brokered Markets; 2.1.4 Order Precedence and Pricing Rules; 2.1.5 Trading Forms at Selected International Exchanges; 2.1.5.1 The New York Stock Exchange (NYSE); 2.1.5.2 NASDAQ; 2.1.5.3 XETRA 2.1.5.4 Australian Stock Exchange2.2 A Review of Market Microstructure Theory; 2.2.1 Asymmetric Information Based Models; 2.2.1.1 Sequential Trade Models; 2.2.1.2 Strategic Trade Models; 2.2.2 Inventory Models; 2.2.3 Major Implications for Trading Variables; 2.2.4 Models for Limit Order Book Markets; References; Chapter 3: Empirical Properties of High-Frequency Data; 3.1 Handling High-Frequency Data; 3.1.1 Databases and Trading Variables; 3.1.2 Matching Trades and Quotes; 3.1.3 Data Cleaning; 3.1.4 Split-Transactions; 3.1.5 Identification of Buyer- and Seller-Initiated Trades 3.2 Aggregation by Trading Events: Financial Durations3.2.1 Trade and Order Arrival Durations; 3.2.2 Price and Volume Durations; 3.3 Properties of Financial Durations; 3.4 Properties of Trading Characteristics; 3.5 Properties of Time Aggregated Data; 3.6 Summary of Major Empirical Findings; References; Chapter 4: Financial Point Processes; 4.1 Basic Concepts of Point Processes; 4.1.1 Fundamental Definitions; 4.1.1.1 Point Processes; 4.1.1.2 Counting Processes; 4.1.1.3 Durations and Backward Recurrence Times; 4.1.1.4 Filtrations and (Time-Varying) Covariates; 4.1.2 Compensators and Intensities 4.1.3 The Homogeneous Poisson Process4.1.4 Generalizations of Poisson Processes; 4.1.5 A Random Time Change Argument; 4.1.6 Intensity-Based Inference; 4.1.7 Simulation and Diagnostics; 4.2 Four Ways to Model Point Processes; 4.2.1 Intensity Models; 4.2.2 Hazard Models; 4.2.2.1 Proportional Hazard (PH) Models; 4.2.2.2 Accelerated Failure Time Models; 4.2.3 Duration Models; 4.2.4 Count Data Models; 4.3 Censoring and Time-Varying Covariates; 4.3.1 Censoring; 4.3.2 Time-Varying Covariates; 4.4 An Outlook on Dynamic Extensions; References; Chapter 5: Univariate Multiplicative Error Models 5.1 ARMA Models for Log Variables5.2 A MEM for Durations: The ACD Model; 5.3 Estimation of the ACD Model; 5.3.1 QML Estimation; 5.3.2 ML Estimation; 5.4 Seasonalities and Explanatory Variables; 5.5 The Log-ACD Model; 5.6 Testing the ACD Model; 5.6.1 Portmanteau Tests; 5.6.2 Independence Tests; 5.6.3 Distribution Tests; 5.6.4 Lagrange Multiplier Tests; 5.6.5 Conditional Moment Tests; 5.6.5.1 Adapting Newey's Conditional Moment Test; 5.6.5.2 Integrated Conditional Moment Tests; 5.6.6 Monte Carlo Evidence; References; Chapter 6: Generalized Multiplicative Error Models 6.1 A Class of Augmented ACD Models |
| ISBN: | 978-3-642-21925-2 ; 978-3-642-21924-5 |
| Other identifiers: | 10.1007/978-3-642-21925-2 [DOI] |
| Classification: | Methoden und Techniken der Volkswirtschaft ; Methoden und Techniken der Betriebswirtschaft |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014015549