Nikolaus Hautsch
Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models - Lecture Notes in Economics and Mathematical Systems Nikolaus Hautsch Softcover reprint of the original 1st ed. 2004 edition

Name: Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models - Lecture Notes in Economics and Mathematical Systems
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Author: Nikolaus Hautsch

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Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models - Lecture Notes in Economics and Mathematical Systems

Nikolaus Hautsch

Softcover reprint of the original 1st ed. 2004 edition

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

Media	Books Paperback Book (Book with soft cover and glued back)
Released	April 6, 2004
ISBN13	9783540211341
Publishers	Springer-Verlag Berlin and Heidelberg Gm
Pages	292
Dimensions	155 × 235 × 16 mm · 453 g
Language	English German