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

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Item description for Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models (Lecture Notes in Economics and Mathematical Systems) by Nikolaus Hautsch...

This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.





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Item Specifications...


Pages   291
Est. Packaging Dimensions:   Length: 9.2" Width: 6.1" Height: 0.6"
Weight:   1 lbs.
Binding  Softcover
Release Date   Jun 24, 2004
Publisher   Springer
ISBN  3540211349  
ISBN13  9783540211341  


Availability  95 units.
Availability accurate as of May 27, 2017 12:15.
Usually ships within one to two business days from La Vergne, TN.
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2Books > Special Features > New & Used Textbooks > Business & Finance > Finance
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