Modelling Irregularly Spaced Financial Data
Theory and Practice of Dynamic Duration Models
Published on 6. April 2004
Book
Paperback/Softback
XII, 292 pages
978-3-540-21134-1 (ISBN)
Description
This book has been written as a doctoral dissertation at the Department of Economics at the University of Konstanz. I am indebted to my supervisor Winfried Pohlmeier for providing a stimulating and pleasant research en- ronment and his continuous support during my doctoral studies. I strongly bene?tted from inspiring discussions with him, his valuable advices and he- ful comments regarding the contents and the exposition of this book. I am grateful to Luc Bauwens for refereeing my work as a second super- sor. Moreover, I wish to thank him for o?ering me the possibility of a research visit at the Center of Operations Research and Econometrics (CORE) at the Universit' e Catholique de Louvain. Important parts of this book have been conceived during this period. Similarly, I am grateful to Tony Hall who invited me for a research visit at the University of Technology, Sydney, and provided me access to an excellent database from the Australian Stock Exchange. I would like to thank him for his valuable support and the permission to use this data for empirical studies in this book.
I wish to thank my colleagues at the University of Konstanz Frank G- hard,DieterHess,JoachimInkmann,MarkusJochmann,StefanKlotz,Sandra Lechner and Ingmar Nolte who o?ered me advice, inspiration, friendship and successfulco-operations.Moreover,Iamgratefultothestudentresearchass- tantsat the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle Tucker and Nadine Warmuth who did a lot of editing work.
I wish to thank my colleagues at the University of Konstanz Frank G- hard,DieterHess,JoachimInkmann,MarkusJochmann,StefanKlotz,Sandra Lechner and Ingmar Nolte who o?ered me advice, inspiration, friendship and successfulco-operations.Moreover,Iamgratefultothestudentresearchass- tantsat the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle Tucker and Nadine Warmuth who did a lot of editing work.
Reviews / Votes
From the reviews of the first edition:
"This book regards financial point processes. . Valuable risk and liquidity measures are constructed by defining financial events in terms of price and /or the volume process. Several applications are illustrated." (Klaus Ehemann, Zentralblatt MATH, Vol. 1081, 2006)
More details
Series
Edition
Softcover reprint of the original 1st ed. 2004
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Research
Illustrations
55 s/w Abbildungen
XII, 292 p. 55 illus.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 17 mm
Weight
464 gr
ISBN-13
978-3-540-21134-1 (9783540211341)
DOI
10.1007/978-3-642-17015-7
Schweitzer Classification
Other editions
Additional editions
Nikolaus Hautsch
Modelling Irregularly Spaced Financial Data
Theory and Practice of Dynamic Duration Models
E-Book
01/2011
Springer
€96.29
Available for download
Content
1 Introduction.- 2 Point Processes.- 2.1 Basic Concepts of Point Processes.- 2.2 Types of Point Processes.- 2.3 Non-Dynamic Point Process Models.- 2.4 Censoring and Time-Varying Covariates.- 2.5 Outlook on Dynamic Extensions.- 3 Economic Implications of Financial Durations.- 3.1 Types of Financial Durations.- 3.2 The Role of Trade Durations in Market Microstructure Theory.- 3.3 Risk Estimation based on Price Durations.- 3.4 Liquidity Measurement.- 4 Statistical Properties of Financial Durations.- 4.1 Data Preparation Issues.- 4.2 Transaction Databases and Data Preparation.- 4.3 Statistical Properties of Trade, Limit Order and Quote Durations.- 4.4 Statistical Properties of Price Durations.- 4.5 Statistical Properties of (Excess) Volume Durations.- 4.6 Summarizing the Statistical Findings.- 5 Autoregressive Conditional Duration Models.- 5.1 ARMA Models for (Log-)Durations.- 5.2 The ACD Model.- 5.3 Extensions of the ACD Framework.- 5.4 Testing the ACD Model.- 5.5 Applications of ACD Models.- 6 Semiparametric Dynamic Proportional Intensity Models.- 6.1 Dynamic Integrated Intensity Processes.- 6.2 The Semiparametric ACPI Model.- 6.3 Properties of the Semiparametric ACPI Model.- 6.4 Extensions of the ACPI Model.- 6.5 Testing the ACPI Model.- 6.6 Estimating Volatility Using the ACPI Model.- 7 Univariate and Multivariate Dynamic Intensity Models.- 7.1 Univariate Dynamic Intensity Models.- 7.2 Multivariate Dynamic Intensity Models.- 7.3 Dynamic Latent Factor Models for Intensity Processes.- 7.4 Applications of Dynamic Intensity Models.- 8 Summary and Conclusions.- A Important Distributions for Duration Data.- B List of Symbols (in Alphabetical Order).- References.