{"product_id":"9783642427725","title":"Econometrics of Financial High-Frequency Data","description":"\u003ch1\u003eEconometrics of Financial High-Frequency Data\u003c\/h1\u003e \u003ch2\u003eHautsch, Nikolaus\u003c\/h2\u003e \u003cp\u003eThe 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.\u003c\/p\u003e \u003ch3\u003eDetails\u003c\/h3\u003e \u003cp\u003ePublished by: Springer\u003c\/p\u003e \u003cp\u003ePublication Date: 2013-11-29\u003c\/p\u003e \u003cp\u003eFormat: Paperback\u003c\/p\u003e \u003cp\u003eISBN-13: 9783642427725\u003c\/p\u003e \u003cp\u003eDOI: 10.1007\/978-3-642-21925-2\u003c\/p\u003e \u003cp\u003eDimensions: 235cm x155cm\u003c\/p\u003e \u003cp\u003ePages: 374\u003c\/p\u003e ","brand":"Springer Berlin Heidelberg","offers":[{"title":"Default Title","offer_id":50149781373068,"sku":"9783642427725","price":179.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9783642427725.jpg?v=1779580206","url":"https:\/\/fh90cf-fv.myshopify.com\/products\/9783642427725","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}