Econometrics of Financial High-Frequency Data

Nikolaus Hautsch

ISBN 10: 3642219241 / ISBN 13: 9783642219245

Edité par Springer, 2011

A propos de cet article

pp. 388.

N° de réf. du vendeur 2651403439

Détails bibliographiques

• Titre: Econometrics of Financial High-Frequency Data
• Éditeur: Springer
• Date de parution: 2011
• Langue: anglais
• ISBN à 10 chiffres: 3642219241
• ISBN à 13 chiffres: 9783642219245
• Reliure: Couverture rigide
• État de l'article: New

A propos de ce titre

Synopsis

This book covers major approaches in high-frequency econometrics. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications.

À propos de l?auteur

Nikolaus Hautsch, born 1972, is director of the Institute for Econometrics at the Department of Economics and Business Administration at the Humboldt-Universität zu Berlin since 2007. His research interests are financial econometrics, empirical finance and multivariate time series analysis. Particular focus is on the econometric modelling of financial high-frequency data, market microstructure analysis as well as volatility and liquidity estimation.