© 2004

Modelling Irregularly Spaced Financial Data

Theory and Practice of Dynamic Duration Models


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


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

Authors and affiliations

  1. 1.Institute of EconomicsUniversity of CopenhagenCopenhagen KDenmark

Bibliographic information

Industry Sectors
Finance, Business & Banking


From the reviews of the first edition:

"This book regards financial point processes. … Valuable risk and liquidity measures are constructed by defining financial events in terms of price and /or the volume process. Several applications are illustrated." (Klaus Ehemann, Zentralblatt MATH, Vol. 1081, 2006)