Econometric modelling of stock market intraday activity /
In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk. Although the models...
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| Format: | eBook |
| Language: | English |
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Boston :
Kluwer Academic Publishers,
[2001]
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| Series: | Advanced studies in theoretical and applied econometrics ;
v. 38. |
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk. Although the models are applied to data for stock traded on the NYSE, they are not specific to this exchange and could be used to analyze other existing trading mechanisms. Accordingly, this book should be of interest to academics and graduate students involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks or brokerage firms."--BOOK JACKET. |
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| Physical Description: | 1 online resource (xv, 177 pages) : illustrations. |
| Bibliography: | Includes bibliographical references (pages 161-172) and index. |
| ISBN: | 9781475733815 (electronic bk.) 147573381X (electronic bk.) |