Modelling financial high frequency data using point processes
Research output: Working paper › Research
Documents
- CORE2006-80
Submitted manuscript, 305 KB, PDF document
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 language | English |
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Place of Publication | Louvain-la-Neuve |
Publisher | Université catholique de Louvain |
Number of pages | 30 |
Publication status | Published - 2006 |
- Faculty of Social Sciences - duration, intensity, high frequency data, ACD models
Research areas
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ID: 312819