Modelling Financial High Frequency Data using Point Processes
Humboldt-Universität zu Berlin; CASE - Center for Applied Statistics and Economics; CFS
Université catholique de Louvain
CORE Discussion Paper No. 2006/80
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, C32working papers series
Date posted: November 19, 2006
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