Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models (Lecture Notes in Economics and Mathematical Systems, 539)

Hautsch, Nikolaus

ISBN 10: 3540211349 / ISBN 13: 9783540211341

Edité par Springer, 2004

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Détails bibliographiques

• Titre: Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models (Lecture Notes in Economics and Mathematical Systems, 539)
• Éditeur: Springer
• Date de parution: 2004
• Langue: anglais
• ISBN à 10 chiffres: 3540211349
• ISBN à 13 chiffres: 9783540211341
• Reliure: paperback
• État de l'article: New

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Synopsis

This book has been written as a doctoral dissertation at the Department of Economics at the University of Konstanz. I am indebted to my supervisor Winfried Pohlmeier for providing a stimulating and pleasant research en- ronment and his continuous support during my doctoral studies. I strongly bene?tted from inspiring discussions with him, his valuable advices and he- ful comments regarding the contents and the exposition of this book. I am grateful to Luc Bauwens for refereeing my work as a second super- sor. Moreover, I wish to thank him for o?ering me the possibility of a research visit at the Center of Operations Research and Econometrics (CORE) at the Universit´ e Catholique de Louvain. Important parts of this book have been conceived during this period. Similarly, I am grateful to Tony Hall who invited me for a research visit at the University of Technology, Sydney, and provided me access to an excellent database from the Australian Stock Exchange. I would like to thank him for his valuable support and the permission to use this data for empirical studies in this book. I wish to thank my colleagues at the University of Konstanz Frank G- hard, DieterHess, JoachimInkmann, MarkusJochmann, StefanKlotz, Sandra Lechner and Ingmar Nolte who o?ered me advice, inspiration, friendship and successfulco-operations.Moreover, Iamgratefultothestudentresearchass- tantsat the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle Tucker and Nadine Warmuth who did a lot of editing work.