His research interests are financial econometrics empirical finance and multivariate time series analysis particular focus is on the econometric modelling of financial high frequency data market microstructure analysis as well as volatility and liquidity estimation. The econometrics of high frequency data per a mykland and lan zhang department of statistics university of chicago 5734 university avenue chicago il 60637 usa and department of finance university of illinois at chicago 601 s morgan street chicago il 60607 7124 usa 21 introduction 211 overview. Econometrics of financial high frequency data by nikolaus hautsch springer 2011 isbn 978 3642219245 nikolaus hautsch extends and updates his earlier book on econometric models for financial trading data for scholars and practitioners the new book is timely and highly recommended because the past decade has wit. In financial analysis high frequency data can be organized in differing time scales from minutes to years as high frequency data comes in a largely dis aggregated form over a time series compared to lower frequency methods of data collection it contains various unique characteristics that alter the way the data are understood and analyzed. The econometrics of high frequency data 1 1 introduction 11 overview this is a course on estimation in high frequency data it is intended for an audience that includes interested people in finance econometrics statistics probability and financial engineering
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