Econometrics of financial high-frequency data
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Publication:3089394
zbMATH Open1248.91004MaRDI QIDQ3089394FDOQ3089394
Authors: Nikolaus Hautsch 
Publication date: 25 August 2011
Recommendations
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)
Cited In (57)
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- Econometric analysis of financial transaction data: pitfalls and opportunities
- Special feature: Statistics for high-frequency data
- High-Frequency Volatility and Liquidity
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- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
- Extracting information from mega‐panels and high‐frequency data
- Implicit transaction costs and the fundamental theorems of asset pricing
- Statistics and high-frequency data
- The econometrics of sequential trade models. Theory and applications using high frequency data.
- Integer-valued Lévy processes and low latency financial econometrics
- Specification tests for multiplicative error models
- A review of the modeling development of high frequency time series
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- From tick data to semimartingales
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
- A higher-order correct fast moving-average bootstrap for dependent data
- Intraday trade and quote dynamics: A Cox regression analysis
- Econometric analysis of high frequency data
- Separating information maximum likelihood method for high-frequency financial data
- Periodic autoregressive conditional duration
- Title not available (Why is that?)
- On an independent-switching periodic autoregressive conditional duration
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- A generalized least squares estimation method for the autoregressive conditional duration model
- Data-driven estimation of diurnal patterns of durations between trades on financial markets
- Online estimation methods for irregular autoregressive models
- Complex correlation approach for high frequency financial data
- Econometric modelling of stock market intraday activity.
- Profiling high-frequency equity price movements in directional changes
- Tail behavior of ACD models and consequences for likelihood-based estimation
- The econometrics of high-frequency data
- Latency and liquidity provision in a limit order book
- Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Robust estimation of a high-dimensional integrated covariance matrix
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Dilemmas of robust analysis of economic data streams
- Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
- A class of minimum distance estimators in Markovian multiplicative error models
- Extension and verification of the asymmetric autoregressive conditional duration models
- The Econometrics of Ultra-high-frequency Data
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- Review of statistical approaches for modeling high-frequency trading data
- Nonstationary autoregressive conditional duration models
- Performance of information criteria for selection of Hawkes process models of financial data
- Estimation of the stochastic leverage effect using the Fourier transform method
- Adaptive Lasso for vector multiplicative error models
- A Markov-switching multifractal inter-trade duration model, with application to US equities
- Inheritance of strong mixing and weak dependence under renewal sampling
- Title not available (Why is that?)
- On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
- Flexible statistical modelling of the occurrences of transcription factor binding sites along a DNA sequence
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