Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models - Lecture Notes in Economics and Mathematical Systems - Nikolaus Hautsch - Grāmatas - Springer-Verlag Berlin and Heidelberg Gm - 9783540211341 - 2004. gada 6. aprīlis
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Nikolaus Hautsch
Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models - Lecture Notes in Economics and Mathematical Systems Softcover reprint of the original 1st ed. 2004 edition

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This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.

292 pages, 55 black & white illustrations, 48 black & white tables, biography

Mediji Grāmatas     Paperback Book   (Grāmata ar mīksto vāku un līmēto muguru)
Izlaists 2004. gada 6. aprīlis
ISBN13 9783540211341
Izdevēji Springer-Verlag Berlin and Heidelberg Gm
Lapas 292
Izmēri 155 × 235 × 16 mm   ·   453 g
Valoda Angļu   Vācu  

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