Modelling financial high frequency data using point processes

Research output: Working paper › Research

Standard

Modelling financial high frequency data using point processes. / Hautsch, Nikolaus; Bauwens, Luc.

Louvain-la-Neuve : Université catholique de Louvain, 2006.

Research output: Working paper › Research

Harvard

Hautsch, N & Bauwens, L 2006 'Modelling financial high frequency data using point processes' Université catholique de Louvain, Louvain-la-Neuve.

APA

Hautsch, N., & Bauwens, L. (2006). Modelling financial high frequency data using point processes. Université catholique de Louvain.

Vancouver

Hautsch N, Bauwens L. Modelling financial high frequency data using point processes. Louvain-la-Neuve: Université catholique de Louvain. 2006.

Author

Hautsch, Nikolaus ; Bauwens, Luc. / Modelling financial high frequency data using point processes. Louvain-la-Neuve : Université catholique de Louvain, 2006.

Bibtex

@techreport{ebaa02b07fb411dbbee902004c4f4f50,
title = "Modelling financial high frequency data using point processes",
abstract = "In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models",
keywords = "Faculty of Social Sciences, duration, intensity, high frequency data, ACD models",
author = "Nikolaus Hautsch and Luc Bauwens",
note = "JEL Classification: C41, C32",
year = "2006",
language = "English",
publisher = "Universit{\'e} catholique de Louvain",
type = "WorkingPaper",
institution = "Universit{\'e} catholique de Louvain",

}

RIS

TY - UNPB

T1 - Modelling financial high frequency data using point processes

AU - Hautsch, Nikolaus

AU - Bauwens, Luc

N1 - JEL Classification: C41, C32

PY - 2006

Y1 - 2006

N2 - In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models

AB - In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models

KW - Faculty of Social Sciences

KW - duration

KW - intensity

KW - high frequency data

KW - ACD models

M3 - Working paper

BT - Modelling financial high frequency data using point processes

PB - Université catholique de Louvain

CY - Louvain-la-Neuve

ER -

ID: 312819