Author: Roel C. A. OomenPublisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 101
Book Description
Three Essays on the Econometric Analysis of High Frequency Financial Data
Author: Roel C. A. OomenPublisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 101
Book Description
Three Essays on the Econometric Analysis of High-frequency Data
Author: Peter MalecEconometrics of Financial High-Frequency Data
Author: Nikolaus HautschPublisher: Springer Science & Business Media
ISBN: 364221925X
Category : Business & Economics
Languages : en
Pages : 381
Book Description
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.
Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior
Author: Four Essays on the Econometric Analysis of High-frequency Order Data
Author: Ruihong HuangThree Essays on Econometric Analysis of Financial Models
Author: Pin-Huang ChouEconometric Forecasting And High-frequency Data Analysis
Author: Yiu-kuen TsePublisher: World Scientific
ISBN: 9814472360
Category : Business & Economics
Languages : en
Pages : 200
Book Description
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 Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.
Three Essays on the Econometric Methods for High-dimensional Economic and Financial Data Using Factor Structures
Author: Yuning LiPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This note is part of Quality testing.
Essays on High Frequency Financial Econometrics
Author: Publisher:
ISBN: 9789036104357
Category :
Languages : en
Pages : 182
Book Description
"It has long been demonstrated that continuous-time methods are powerful tools in financial modeling. Yet only in recent years, their counterparts in empirical analysis-high frequency econometrics-began to emerge with the availability of intra-day data and relevant statistical tools. This dissertation contributes to the development of this emerging area in two directions. On the one hand, it develops new econometric tools to identify different types of interdependence structure among asset state processes. Chapter 2 examines the co-movement of asset price and its volatility, known as leverage effect. Different from previous work, this chapter allows price and volatility processes to have both continuous and discontinuous stochastic components that may contribute to the overall leverage effect. The second type is about the interdependence between price process and its jump intensity, known as self-excitation. Chapter 3 extends the definition of self-excitation in jumps accordingly, proposes statistical tests to detect its presence in a discretely observed path at high frequency, and derives the tests' asymptotic properties. On the other hand, Finance theory implies a set of constraints on the dynamics of an option price process and that of its underlying processes. Yet empirical option pricing models may either implicitly ignore some theoretical constraints or impose a possibly misspecified parametric structure on it. Chapter 4 fill this gap, by proposing a statistical procedure that utilizes information from the time series of the underlying processes to test the specification of a given option pricing model. "--Samenvatting auteur.
Three Essays on High Frequency Financial Data and Their Use for Risk Management
Author: Maria PacurarPublisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 0
Book Description