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Econometrics of Financial High-Frequency Data
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Econometrics of Financial High-Frequency Data

innbundet, 2011
Engelsk
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.
Opplag
2012
ISBN
9783642219245
Språk
Engelsk
Vekt
446 gram
Utgivelsesdato
12.10.2011
Antall sider
374