Econometrics of financial high-frequency data
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Publication:3089394
point processvolatilityhigh-frequency dataliquidityintensity modelsautoregressive conditional duration modelsfinancial durationfinancialmultiplicative error models
Applications of statistics to economics (62P20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24)
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