Econometric Forecasting and High-frequency Data Analysis - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Econometric Forecasting and High-frequency Data Analysis write by Roberto S. Mariano. This book was released on 2008. Econometric Forecasting and High-frequency Data Analysis available in PDF, EPUB and Kindle. This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.
Econometric Forecasting And High-frequency Data Analysis
Econometric Forecasting And High-frequency Data Analysis - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Econometric Forecasting And High-frequency Data Analysis write by Yiu-kuen Tse. This book was released on 2008-03-04. Econometric Forecasting And High-frequency Data Analysis available in PDF, EPUB and Kindle. This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.
High-Frequency Financial Econometrics
High-Frequency Financial Econometrics - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook High-Frequency Financial Econometrics write by Yacine Aït-Sahalia. This book was released on 2014-07-21. High-Frequency Financial Econometrics available in PDF, EPUB and Kindle. A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Modelling and Forecasting High Frequency Financial Data
Modelling and Forecasting High Frequency Financial Data - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Modelling and Forecasting High Frequency Financial Data write by Stavros Degiannakis. This book was released on 2016-04-29. Modelling and Forecasting High Frequency Financial Data available in PDF, EPUB and Kindle. The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.
Econometrics of Financial High-Frequency Data
Econometrics of Financial High-Frequency Data - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Econometrics of Financial High-Frequency Data write by Nikolaus Hautsch. This book was released on 2011-10-12. Econometrics of Financial High-Frequency Data available in PDF, EPUB and Kindle. 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.
