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Econometrics of Financial High-Frequency Data, Hautsch, Nikolaus



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Автор: Hautsch, Nikolaus
Название:  Econometrics of Financial High-Frequency Data
Перевод названия: Эконометрика специальных финансовых данных
ISBN: 9783642219245
Издательство: Springer
Классификация:
ISBN-10: 3642219241
Обложка/Формат: Hardback
Страницы: 388
Вес: 0.714 кг.
Дата издания: 12/10/2011
Язык: English
Издание: 2012
Иллюстрации: 40 black & white tables, biography
Размер: 165 x 243 x 26
Читательская аудитория: Professional & vocational
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.


Mostly harmless econometrics

Автор: Angrist, J.d. Pischke, Jorn-steffen
Название: Mostly harmless econometrics
ISBN: 0691120358 ISBN-13(EAN): 9780691120355
Издательство: Wiley
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Цена: 7128 р.
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Описание: Shows how the basic tools of applied econometrics allow the data to speak. This book covers regression-discontinuity designs and quantile regression - as well as how to get standard errors right. It is suitable for various areas in contemporary social science.

Introductory Econometrics for Finance

Автор: Brooks
Название: Introductory Econometrics for Finance
ISBN: 1107661455 ISBN-13(EAN): 9781107661455
Издательство: Cambridge Academ
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Цена: 7918 р.
Наличие на складе: Нет в наличии.

Описание: This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.

High-Frequency Financial Econometrics

Автор: Ait-Sahalia Yacine
Название: High-Frequency Financial Econometrics
ISBN: 0691161437 ISBN-13(EAN): 9780691161433
Издательство: Wiley
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Цена: 8712 р.
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Описание: High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. This book introduces readers to these emerging methods and tools of analysis.

A Guide to Modern Econometrics

Автор: Verbeek M
Название: A Guide to Modern Econometrics
ISBN: 1119951674 ISBN-13(EAN): 9781119951674
Издательство: Wiley
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Цена: 7918 р.
Наличие на складе: Нет в наличии.

Описание: This highly successful text serves as a guide to alternative techniques in econometrics with an emphasis on the practical application of these approaches. The 4th Edition features: Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments. Intuitive presentation and discussion, with a focus on implementation and practical relevance. A large number of empirical illustrations taken from a wide variety of fields, including international economics, finance, labour economics and macroeconomics. Increased focus on robust inference and small sample properties. End-of-chapter exercises, both theoretical and empirical, reviewing key concepts. Updated and expanded coverage, on various topics such as missing data, outliers, forecast evaluation, the estimation of treatment effects and panel unit root tests. Supplementary material, including PowerPoint slides for lecturers, data sets of the empirical illustrations and exercises, and solutions to selected exercises in each chapter, available at www.wileyeurope.com/college/verbeek

The econometrics of financial markets

Автор: Campbell, John W.
Название: The econometrics of financial markets
ISBN: 0691043019 ISBN-13(EAN): 9780691043012
Издательство: Wiley
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Цена: 10296 р.
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Описание: Covers the spectrum of empirical finance, including the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, and the term structure of interest rates, dynamic models of economic equilibrium.

Financial Econometrics - From Basics to Advanced Modeling Techniques

Автор: Rachev
Название: Financial Econometrics - From Basics to Advanced Modeling Techniques
ISBN: 0471784508 ISBN-13(EAN): 9780471784500
Издательство: Wiley
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Цена: 15048 р.
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Описание: Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics.

Handbook of Financial Econometrics, Vol 2,2

Автор: Yacine Ait-Sahalia
Название: Handbook of Financial Econometrics, Vol 2,2
ISBN: 0444535489 ISBN-13(EAN): 9780444535481
Издательство: Elsevier Science
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Цена: 12632 р.
Наличие на складе: Нет в наличии.

Описание: Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years.

Handbook of Financial Econometrics, Vol 1,1

Автор: Yacine Ait-Sahalia
Название: Handbook of Financial Econometrics, Vol 1,1
ISBN: 044450897X ISBN-13(EAN): 9780444508973
Издательство: Elsevier Science
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Цена: 19875 р.
Наличие на складе: Нет в наличии.

Описание: Covers advances in financial econometrics. This book features topics ranging from a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment.

Econometrics and data analysis for developing countries

Автор: Mukherjee, Chandan Etc. White, Howard Wuyts, Mark
Название: Econometrics and data analysis for developing countries
ISBN: 0415094003 ISBN-13(EAN): 9780415094009
Издательство: Taylor&Francis
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Цена: 9001 р.
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Описание: A rigorous but accessible foundation to modern data analysis and econometric practice. Contains many examples and exercises and data from developing countries which is available for immediate use on a free floppy disk.

Applied Nonparametric Econometrics

Автор: Henderson
Название: Applied Nonparametric Econometrics
ISBN: 0521279682 ISBN-13(EAN): 9780521279680
Издательство: Cambridge Academ
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Цена: 6334 р.
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Описание: The majority of empirical research in economics ignores the potential benefits of nonparametric methods, while the majority of advances in nonparametric theory ignore the problems faced in applied econometrics. This book helps bridge this gap between applied economists and theoretical nonparametric econometricians, discussing basic to advanced nonparametric methods with applications.

An Introduction to Modern Econometrics Using Stata

Автор: Baum
Название: An Introduction to Modern Econometrics Using Stata
ISBN: 1597180130 ISBN-13(EAN): 9781597180139
Издательство: Taylor&Francis
Рейтинг:
Цена: 12631 р.
Наличие на складе: Невозможна поставка.

Описание:

Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, An Introduction to Modern Econometrics Using Stata focuses on the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how the theories are applied to real data sets using Stata.

As an expert in Stata, the author successfully guides readers from the basic elements of Stata to the core econometric topics. He first describes the fundamental components needed to effectively use Stata. The book then covers the multiple linear regression model, linear and nonlinear Wald tests, constrained least-squares estimation, Lagrange multiplier tests, and hypothesis testing of nonnested models. Subsequent chapters center on the consequences of failures of the linear regression model's assumptions. The book also examines indicator variables, interaction effects, weak instruments, underidentification, and generalized method-of-moments estimation. The final chapters introduce panel-data analysis and discrete- and limited-dependent variables and the two appendices discuss how to import data into Stata and Stata programming.

Presenting many of the econometric theories used in modern empirical research, this introduction illustrates how to apply these concepts using Stata. The book serves both as a supplementary text for undergraduate and graduate students and as a clear guide for economists and financial analysts.

Basics of Financial Econometrics

Автор: Fabozzi Frank J
Название: Basics of Financial Econometrics
ISBN: 111857320X ISBN-13(EAN): 9781118573204
Издательство: Wiley
Рейтинг:
Цена: 16632 р.
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Описание: An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance.


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