Modelling Irregularly Spaced Financial Data : Theory and Practice of Dynamic Duration Models /
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 m...
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2004.
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| Series: | Lecture notes in economics and mathematical systems ;
539. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (xii, 291 pages 69 illustrations) |
| ISBN: | 9783642170157 (electronic bk.) 3642170153 (electronic bk.) |
| ISSN: | 0075-8442 ; |