High Frequency Financial Econometrics
Autor: | Luc Bauwens, Winfried Pohlmeier, David Veredas |
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EAN: | 9783790819922 |
eBook Format: | |
Sprache: | Englisch |
Produktart: | eBook |
Veröffentlichungsdatum: | 31.12.2007 |
Untertitel: | Recent Developments |
Kategorie: | |
Schlagworte: | Finance High Frequency Finance Market Microstructure Monte Carlo Simulation Simulation count data dynamics econometrics futures liquidity modeling trading volatility |
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Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.