Modelling financial high frequency data using point processes
Publikation: Working paper › Forskning
Dokumenter
- CORE2006-80
Indsendt manuskript, 305 KB, PDF-dokument
In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models
Originalsprog | Engelsk |
---|---|
Udgivelsessted | Louvain-la-Neuve |
Udgiver | Université catholique de Louvain |
Antal sider | 30 |
Status | Udgivet - 2006 |
Bibliografisk note
JEL Classification: C41, C32
- Det Samfundsvidenskabelige Fakultet
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