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02917nam a22004215i 4500 |
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| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20140310152711.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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111010s2012 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9783642219252 |
|
978-3-642-21925-2 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB139-141 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
330.015195 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg : |
| -- |
Imprint: Springer, |
| -- |
2012. |
| 912 ## - |
|---|
| -- |
ZDB-2-SBE |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hautsch, Nikolaus. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Econometrics of Financial High-Frequency Data |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc |
by Nikolaus Hautsch. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XIV, 374 p. |
| Other physical details |
online resource. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1 Introduction -- 2 Microstructure Foundations -- 3 Empirical Properties of High-Frequency Data -- 4 Financial Point Processes -- 5 Univariate Multiplicative Error Models -- 6 Generalized Multiplicative Error Models -- 7 Vector Multiplicative Error Models -- 8 Modelling High-Frequency Volatility -- 9 Estimating Market Liquidity -- 10 Semiparametric Dynamic Proportional Hazard Models -- 11 Univariate Dynamic Intensity Models -- 12 Multivariate Dynamic Intensity Models -- 13 Autoregressive Discrete Processes and Quote Dynamics -- Appendix: Important Distributions for Positive-Value Data -- Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Economics. |
|
|---|
| Topical term or geographic name as entry element |
Finance. |
|
|---|
| Topical term or geographic name as entry element |
Econometrics. |
|
|---|
| Topical term or geographic name as entry element |
Economics/Management Science. |
|
|---|
| Topical term or geographic name as entry element |
Econometrics. |
|
|---|
| Topical term or geographic name as entry element |
Financial Economics. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783642219245 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-21925-2 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
