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Springer Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models: 539 (Lecture Notes in Economics and Mathematical Systems, 539)

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£84.65 £82.02 £82.59 £83.17 £83.74 £84.32 £84.89 23 July 2026 05 August 2026 19 August 2026 01 September 2026 15 September 2026
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Description

This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.

Product Specifications

Format
paperback
Domain
Amazon UK
Publication Date
06 April 2004
Listed Since
10 December 2006

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