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Econometrics of Financial High-Frequency Data

Nikolaus Hautsch




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 | #2234371 in Books |  2011-10-12 | Original language:English | PDF # 1 |  9.21 x.88 x6.14l,1.58 | File type: PDF | 374 pages

||6 of 6 people found the following review helpful.| Solid|By Dimitri Shvorob|The book offers a wide-ranging survey of the various types of econometric models applied to tick data, written by an active contributor to the field. (Most chapters feature the author's publications). The editorial description is accurate but stretches the truth when mentioning "implementation details" and "institutional settings". There is not a lot of

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 majo...

You easily download any file type for your gadget.Econometrics of Financial High-Frequency Data   |  Nikolaus Hautsch. I was recommended this book by a dear friend of mine.

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