000			03871cam a2200325 a 4500
999			_c239220 _d197782
001			410639
003			CO-BoCAI
005			20180523161919.0
008			170509s2012 gw ad fr g d1 eng d
020			_a9783642219245
040			_aCO-BoCAIE _cCO-BoCAIE _erda
041	0		_aeng
043			_an-us---
082	0	4	_a332.6 _bH18e _221
084			_2JEL _aF30
100	1		_aHautsch, Nikolaus _923513
245	1	0	_aEconometrics of financial high-frequency data / _cNikolaus Hautsch.
260			_aBerlin : _bSpringer-Verlag, _c2012.
300			_axiii, 371 páginas : _btablas, gráficas ; _c24 cm.
336			_2rdacontenido _aTexto _btxt
337			_2rdamedio _aSin mediación _bn
338			_2rdasoporte _aVolumen _bnc
504			_aIncluye bibliografías e índice.
505			_a1. Introduction: 1.1.Motivation ; 1.2. Structure of the book -- 2. Microstructure foundations: 2.1. The institutional framework of trading ; 2.2. A Review of market microstructure theory -- 3. Empirical properties of high-frequency data: 3.1. Handling high-frequency data ; 3.2. Aggregation by trading events: financial durations ; 3.3. Properties of financial durations ; 3.4. Properties of trading characteristics ; 3.5. Properties of time aggregated data ; 3.6. Summary of major empirical findings -- 4. Financial point processes: 4.1. Basic concepts of point processes ; 4.2. Four ways to model point processes ; 4.3. Censoring and time-varying covariates ; 4.4. An outlook on dynamic extensions -- 5.Univariate multiplicative error models: 5.1. ARMA models for log variables ; 5.2. A MEM for durations: the ACD model ; 5.3. Estimation of the ACD model ; 5.4. Seasonality’s and explanatory variables ; 5.5. The Log-ACD model ; 5.6. Testing the ACD model -- 6.Generalized multiplicative error models: 6.1. A Class of augmented ACD models ; 6.2. Regime-switching ACD models ; 6.3. Long memory ACD models ; 6.4. Mixture and component multiplicative error ; 6.5. Further generalizations of multiplicative error models -- 7.Vector multiplicative error models: 7.1. VMEM Processes ; 7.2. Stochastic vector multiplicative error models -- 8. Modelling high-frequency volatility: 8.1. Intraday quadratic variation measures ; 8.2. Spot variances and jumps ; 8.3.Trade-based volatility measures ; 8.4. Volatility measurement using price durations ; 8.5. Modelling quote volatility -- 9.Estimating market liquidity: 9.1.Simple spread and price impact measures ; 9.2. Volume based measures ; 9.3. Modelling order book depth -- 10. Semiparametric dynamic proportional hazard models: 10.1. Dynamic integrated hazard processes ; 10.2. The semiparametric ACPH model ; 10.3. Properties of the semiparametric ACPH model ; 10.4. Extended SACPH models ; 10.5. Testing the SACPH model ; 10.6. Estimating Volatility Using the SACPH model -- 11.Univariate Dynamic Intensity Models: 11.1. The autoregressive conditional Intensity Model ; 11.2. Generalized ACI models ; 11.3. Hawkes processes -- 12. Multivariate dynamic intensity models: 12.1. Multivariate ACI models ; 12.2. Applications of multivariate ACI models ; 12.3. Multivariate Hawkes processes ; 12.4. Stochastic conditional intensity processes ; 12.5. SCI Modelling of multivariate price intensities -- 13. Autoregressive discrete processes and quote dynamics: 13.1. Univariate dynamic count data models ; 13.2. Multivariate ACP models ; 13.3. A Simple model for transaction price dynamics ; 13.4. Autoregressive conditional multinomial models ; 13.5. Autoregressive models for integer-valued variables ; 13.6. Modelling ask and bid quote dynamics.
650		4	_937963 _aAnálisis de inversiones _xModelos econométricos
650		4	_942240 _aTipos de cambio _xModelos econométricos
690		0	_aF30 - Finanzas internacionales: Generalidades _938262
942			_2ddc _cLIBRO