Modelling financial high frequency data using point processes

Research output: Working paperResearch

Documents

  • Nikolaus Hautsch
  • Luc Bauwens
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
Original languageEnglish
Place of PublicationLouvain-la-Neuve
PublisherUniversité catholique de Louvain
Number of pages30
Publication statusPublished - 2006

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