Econometrics of Financial High-Frequency Data

Name: Econometrics of Financial High-Frequency Data
Brand: Springer Nature
SKU: 9783642219252
Availability: InStock

Best Price:
Buy Econometrics of Financial High-Frequency Data for $149.00 at @ Link.springer.com
No coupon is required — this is the standard retail price.

Set a price drop alert to never miss an offer.

1 Offer Price Range: $149.00 - $149.00

BEST PRICE

Single Product Purchase

$149.00

@ Link.springer.com BUY Now

Price Comparison

Seller	Contact Seller	List Price	On Sale	Shipping	Best Promo	Final Price	Volume Discount	Financing	Availability	Seller's Page
BEST PRICE 1 Product Purchase @ Link.springer.com		$149.00	$149.00			$149.00		See Site	In stock	Visit Store

Product Details

Brand

Springer Nature

Manufacturer

N/A

Part Number

GTIN

9783642219252

Condition

New

Product 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.

Available Colors

N/A

Available Sizes

N/A