Econometrics of Financial High-Frequency Data
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Published By Springer Berlin Heidelberg

9783642219245, 9783642219252

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Univariate Multiplicative Error Models

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_5 ◽

2011 ◽

pp. 99-142

Author(s):

Nikolaus Hautsch

Keyword(s):

Error Models ◽

Multiplicative Error ◽

Multiplicative Error Models

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Autoregressive Discrete Processes and Quote Dynamics

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_13 ◽

2011 ◽

pp. 331-355

Author(s):

Nikolaus Hautsch

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Introduction

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_1 ◽

2011 ◽

pp. 1-8

Author(s):

Nikolaus Hautsch

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Semiparametric Dynamic Proportional Hazard Models

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_10 ◽

2011 ◽

pp. 245-272

Author(s):

Nikolaus Hautsch

Keyword(s):

Hazard Models ◽

Proportional Hazard ◽

Proportional Hazard Models

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Empirical Properties of High-Frequency Data

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_3 ◽

2011 ◽

pp. 27-68 ◽

Cited By ~ 1

Author(s):

Nikolaus Hautsch

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data

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Vector Multiplicative Error Models

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_7 ◽

2011 ◽

pp. 177-194

Author(s):

Nikolaus Hautsch

Keyword(s):

Error Models ◽

Multiplicative Error ◽

Multiplicative Error Models

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Multivariate Dynamic Intensity Models

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_12 ◽

2011 ◽

pp. 291-330

Author(s):

Nikolaus Hautsch

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Univariate Dynamic Intensity Models

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_11 ◽

2011 ◽

pp. 273-289

Author(s):

Nikolaus Hautsch

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Generalized Multiplicative Error Models

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_6 ◽

2011 ◽

pp. 143-175

Author(s):

Nikolaus Hautsch

Keyword(s):

Error Models ◽

Multiplicative Error ◽

Multiplicative Error Models

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Estimating Market Liquidity

Econometrics of Financial High-Frequency Data ◽

10.1007/978-3-642-21925-2_9 ◽

2011 ◽

pp. 225-244

Author(s):

Nikolaus Hautsch

Keyword(s):

Market Liquidity

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