Modelling financial high frequency data using point processes
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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
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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