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Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models

Nikolaus Hautsch
4.9/5 (32322 ratings)
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Description: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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models. To get started finding Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models, you are right to find our website which has a comprehensive collection of manuals listed.
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3642170161

Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models

Nikolaus Hautsch
4.4/5 (1290744 ratings)
Read Now Download now ⏭ listen AudioBook
Description: 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models. To get started finding Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.
Pages
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Format
PDF, EPUB & Kindle Edition
Publisher
—
Release
—
ISBN
3642170161

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