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Econometrics of Financial High-Frequency Data

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Cover of 'Econometrics of Financial High-Frequency Data'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction
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    Chapter 2 Microstructure Foundations
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    Chapter 3 Empirical Properties of High-Frequency Data
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    Chapter 4 Financial Point Processes
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    Chapter 5 Univariate Multiplicative Error Models
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    Chapter 6 Generalized Multiplicative Error Models
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    Chapter 7 Vector Multiplicative Error Models
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    Chapter 8 Modelling High-Frequency Volatility
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    Chapter 9 Estimating Market Liquidity
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    Chapter 10 Semiparametric Dynamic Proportional Hazard Models
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    Chapter 11 Univariate Dynamic Intensity Models
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    Chapter 12 Multivariate Dynamic Intensity Models
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    Chapter 13 Autoregressive Discrete Processes and Quote Dynamics
Attention for Chapter 10: Semiparametric Dynamic Proportional Hazard Models
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