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Modelling Financial High Frequency Data using Point Processes


Nikolaus Hautsch


Humboldt-Universität zu Berlin; CASE - Center for Applied Statistics and Economics; CFS

Luc Bauwens


Université catholique de Louvain
September 2006

CORE Discussion Paper No. 2006/80

Abstract:     
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.

Number of Pages in PDF File: 31

Keywords: Duration, intensity, point process, high frequency data, ACD models

JEL Classification: C41, C32

working papers series


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Date posted: November 19, 2006  

Suggested Citation

Hautsch, Nikolaus and Bauwens, Luc, Modelling Financial High Frequency Data using Point Processes (September 2006). Available at SSRN: http://ssrn.com/abstract=945107 or http://dx.doi.org/10.2139/ssrn.945107

Contact Information

Nikolaus Hautsch
Humboldt-Universität zu Berlin ( email )
Spandauer Str. 1
Berlin, 10178
Germany
CASE - Center for Applied Statistics and Economics ( email )
Spandauer Strasse 1
Berlin, D-10178
Germany
CFS ( email )
Grüneburgplatz 1
Frankfurt am Main, 60323
Germany
Luc Bauwens (Contact Author)
Université catholique de Louvain ( email )
CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)
Feedback to SSRN (Beta)


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