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2007-12-10Diskussionspapier DOI: 10.18452/4087
Modelling Financial High Frequency Data Using Point Processes
dc.contributor.authorBauwens, Luc
dc.contributor.authorHautsch, Nikolaus
dc.date.accessioned2017-06-15T23:34:29Z
dc.date.available2017-06-15T23:34:29Z
dc.date.created2008-01-09
dc.date.issued2007-12-10
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4739
dc.description.abstractIn this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price changes observable based on financial high-frequency data. After discussing fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point processes. Whereas duration-based approaches are mostly preferable for univariate time series, intensity-based models provide powerful frameworks to model multivariate point processes in continuous time. We illustrate the most important properties of the individual models and discuss major empirical applications.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectFinancial point processeseng
dc.subjectdynamic duration modelseng
dc.subjectdynamic intensity modelseng
dc.subject.ddc330 Wirtschaft
dc.titleModelling Financial High Frequency Data Using Point Processes
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10082975
dc.identifier.doihttp://dx.doi.org/10.18452/4087
local.edoc.pages35
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2007
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2007,66

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