{"product_id":"econometrics-of-financial-high-frequency-data","title":"Econometrics of Financial High-Frequency Data","description":"\u003cp\u003e\u003cstrong\u003eISBN:\u003c\/strong\u003e 3642219241\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eAuthor:\u003c\/strong\u003e Hautsch, Nikolaus\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eCondition:\u003c\/strong\u003e New\u003c\/p\u003e\u003cp\u003eThe 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.\u003c\/p\u003e","brand":"Miakarts Books","offers":[{"title":"Default Title","offer_id":49683314934000,"sku":"NEW3642219241","price":189.38,"currency_code":"USD","in_stock":false}],"url":"https:\/\/ethereallybeautiful.com\/products\/econometrics-of-financial-high-frequency-data","provider":"Ethereally Beautiful","version":"1.0","type":"link"}