Modelling Financial High Frequency Data Using Point Processes

CORE Discussion Paper No. 2006/80

31 Pages Posted: 19 Nov 2006

See all articles by Nikolaus Hautsch

Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research; Center for Financial Studies (CFS); Vienna Graduate School of Finance (VGSF)

Luc Bauwens

Université catholique de Louvain

Multiple version iconThere are 2 versions of this paper

Date Written: September 2006

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.

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

JEL Classification: C41, C32

Suggested Citation

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

Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research ( email )

Oskar-Morgenstern-Platz 1
Vienna, A-1090
Austria

Center for Financial Studies (CFS) ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany

Vienna Graduate School of Finance (VGSF) ( email )

Welthandelsplatz 1
Vienna, 1020
Austria

Luc Bauwens (Contact Author)

Université catholique de Louvain ( email )

CORE
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