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Modelling Irregularly Spaced Financial Data

Theory and Practice of Dynamic Duration Models

  • Nikolaus¬†Hautsch

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

Table of contents

  1. Front Matter
    Pages I-XII
  2. Nikolaus Hautsch
    Pages 1-7
  3. Nikolaus Hautsch
    Pages 9-30
  4. Nikolaus Hautsch
    Pages 31-46
  5. Nikolaus Hautsch
    Pages 47-75
  6. Nikolaus Hautsch
    Pages 77-157
  7. Nikolaus Hautsch
    Pages 255-258
  8. Back Matter
    Pages 259-291

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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