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Lieferstatus:	i.d.R. innert 7-14 Tagen versandfertig
Veröffentlichung:	April 2004
Genre:	Wirtschaft / Recht
	C / Econometrics / Economics and Finance / Economics, finance, business & management / Economics, Mathematical / Finance / Finance & accounting / Finance, general / Financial Economics / macroeconomics / Macroeconomics and Monetary Economics / Macroeconomics/Monetary Economics//Financial Economics / Makroökonomie / Management science / Mathematics in Business, Economics and Finance / Monetary Economics / Probability & statistics / Quantitative Finance / Statistics / Wahrscheinlichkeitsrechnung und Statistik mehr...
ISBN:	9783540211341
EAN-Code:	9783540211341
Verlag:	Springer EN
Einband:	Kartoniert
Sprache:	English
Dimensionen:	H 235 mm / B 155 mm / D
Gewicht:	960 gr
Seiten:	292
Illustration:	XII, 292 p. 55 illus., schwarz-weiss Illustrationen
Zus. Info:	EUDR exemption - product or manufacturing materials placed on the market prior to 31.12.2025.
Bewertung:	Titel bewerten / Meinung schreiben

Inhalt:

1 Introduction.- 2 Point Processes.- 2.1 Basic Concepts of Point Processes.- 2.2 Types of Point Processes.- 2.3 Non-Dynamic Point Process Models.- 2.4 Censoring and Time-Varying Covariates.- 2.5 Outlook on Dynamic Extensions.- 3 Economic Implications of Financial Durations.- 3.1 Types of Financial Durations.- 3.2 The Role of Trade Durations in Market Microstructure Theory.- 3.3 Risk Estimation based on Price Durations.- 3.4 Liquidity Measurement.- 4 Statistical Properties of Financial Durations.- 4.1 Data Preparation Issues.- 4.2 Transaction Databases and Data Preparation.- 4.3 Statistical Properties of Trade, Limit Order and Quote Durations.- 4.4 Statistical Properties of Price Durations.- 4.5 Statistical Properties of (Excess) Volume Durations.- 4.6 Summarizing the Statistical Findings.- 5 Autoregressive Conditional Duration Models.- 5.1 ARMA Models for (Log-)Durations.- 5.2 The ACD Model.- 5.3 Extensions of the ACD Framework.- 5.4 Testing the ACD Model.- 5.5 Applications of ACD Models.- 6 Semiparametric Dynamic Proportional Intensity Models.- 6.1 Dynamic Integrated Intensity Processes.- 6.2 The Semiparametric ACPI Model.- 6.3 Properties of the Semiparametric ACPI Model.- 6.4 Extensions of the ACPI Model.- 6.5 Testing the ACPI Model.- 6.6 Estimating Volatility Using the ACPI Model.- 7 Univariate and Multivariate Dynamic Intensity Models.- 7.1 Univariate Dynamic Intensity Models.- 7.2 Multivariate Dynamic Intensity Models.- 7.3 Dynamic Latent Factor Models for Intensity Processes.- 7.4 Applications of Dynamic Intensity Models.- 8 Summary and Conclusions.- A Important Distributions for Duration Data.- B List of Symbols (in Alphabetical Order).- References.