高頻度金融データの計量経済学 Econometrics of Financial High-Frequency Data

Hautsch, Nikolaus

Springer（2011/10発売）

• 製本 Hardcover:ハードカバー版／ページ数 434 p.
• 商品コード 9783642219245

基本説明

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.

Full Description

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.