E-Book, Englisch, Band 539, 292 Seiten, eBook
Hautsch Modelling Irregularly Spaced Financial Data
2004
ISBN: 978-3-642-17015-7
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
Theory and Practice of Dynamic Duration Models
E-Book, Englisch, Band 539, 292 Seiten, eBook
Reihe: Lecture Notes in Economics and Mathematical Systems
ISBN: 978-3-642-17015-7
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
1 Introduction.- 2 Point Processes.- 2.1 Basic Concepts of Point Processes.- 2.2 Types of Point Processes.- 2.3 Non-Dynamic Point Process Models.- 2.4 Censoring and Time-Varying Covariates.- 2.5 Outlook on Dynamic Extensions.- 3 Economic Implications of Financial Durations.- 3.1 Types of Financial Durations.- 3.2 The Role of Trade Durations in Market Microstructure Theory.- 3.3 Risk Estimation based on Price Durations.- 3.4 Liquidity Measurement.- 4 Statistical Properties of Financial Durations.- 4.1 Data Preparation Issues.- 4.2 Transaction Databases and Data Preparation.- 4.3 Statistical Properties of Trade, Limit Order and Quote Durations.- 4.4 Statistical Properties of Price Durations.- 4.5 Statistical Properties of (Excess) Volume Durations.- 4.6 Summarizing the Statistical Findings.- 5 Autoregressive Conditional Duration Models.- 5.1 ARMA Models for (Log-)Durations.- 5.2 The ACD Model.- 5.3 Extensions of the ACD Framework.- 5.4 Testing the ACD Model.- 5.5 Applications of ACD Models.- 6 Semiparametric Dynamic Proportional Intensity Models.- 6.1 Dynamic Integrated Intensity Processes.- 6.2 The Semiparametric ACPI Model.- 6.3 Properties of the Semiparametric ACPI Model.- 6.4 Extensions of the ACPI Model.- 6.5 Testing the ACPI Model.- 6.6 Estimating Volatility Using the ACPI Model.- 7 Univariate and Multivariate Dynamic Intensity Models.- 7.1 Univariate Dynamic Intensity Models.- 7.2 Multivariate Dynamic Intensity Models.- 7.3 Dynamic Latent Factor Models for Intensity Processes.- 7.4 Applications of Dynamic Intensity Models.- 8 Summary and Conclusions.- A Important Distributions for Duration Data.- B List of Symbols (in Alphabetical Order).- References.
