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Modelling Irregularly Spaced Financial Data

Theory and Practice of Dynamic Duration Models

  • Nikolaus Hautsch
Book

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 539)

Table of contents

  1. Front Matter
    Pages I-XII
    PDF
  2. Introduction
    Nikolaus Hautsch
    Pages 1-7
  3. Point Processes
    Nikolaus Hautsch
    Pages 9-30
  4. Economic Implications of Financial Durations
    Nikolaus Hautsch
    Pages 31-46
  5. Statistical Properties of Financial Durations
    Nikolaus Hautsch
    Pages 47-75
  6. Autoregressive Conditional Duration Models
    Nikolaus Hautsch
    Pages 77-157
  7. Semiparametric Dynamic Proportional Intensity Models
    Nikolaus Hautsch
    Pages 159-191
  8. Univariate and Multivariate Dynamic Intensity Models
    Nikolaus Hautsch
    Pages 193-254
  9. Summary and Conclusions
    Nikolaus Hautsch
    Pages 255-258
  10. Back Matter
    Pages 259-291
    PDF

About this book

Keywords

Dynamic Duration Models Financial Transaction Data Multivariate Intensity Models Multivariate Point Processes Volatility and Liquidity Estimation linear optimization modeling

Authors and affiliations

  • Nikolaus Hautsch
    • 1
  1. 1.Institute of EconomicsUniversity of CopenhagenCopenhagen KDenmark

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-17015-7
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-21134-1
  • Online ISBN 978-3-642-17015-7
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
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