{"product_id":"9783642427725","title":"Econometrics of Financial High-Frequency Data","description":"The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. 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. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003ePublication Year: \u003c\/strong\u003e2012\u003cbr\u003e\u003cstrong\u003eImprint: \u003c\/strong\u003eSpringer Berlin Heidelberg\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003eFormat: P\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003eWeight (Gram): 593\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003c\/p\u003e","brand":"Nikolaus Hautsch","offers":[{"title":"Default Title","offer_id":41278349672626,"sku":"9783642427725","price":249.59,"currency_code":"SGD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0502\/5382\/4178\/products\/3642427723.01_SCLZZZZZZZ.jpg?v=1636240501","url":"https:\/\/readabook.store\/products\/9783642427725","provider":"READABOOK BY ALKEM","version":"1.0","type":"link"}