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E-raamat: Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models

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Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration ModelsSuurem pilt
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This book has been written as a doctoral dissertation at the Department of Economics at the University of Konstanz. I am indebted to my supervisor Winfried Pohlmeier for providing a stimulating and pleasant research en- ronment and his continuous support during my doctoral studies. I strongly bene tted from inspiring discussions with him, his valuable advices and he- ful comments regarding the contents and the exposition of this book. I am grateful to Luc Bauwens for refereeing my work as a second super- sor. Moreover, I wish to thank him for o ering me the possibility of a research visit at the Center of Operations Research and Econometrics (CORE) at the Universit' e Catholique de Louvain. Important parts of this book have been conceived during this period. Similarly, I am grateful to Tony Hall who invited me for a research visit at the University of Technology, Sydney, and provided me access to an excellent database from the Australian Stock Exchange. I would like to thank him for his valuable support and the permission to use this data for empirical studies in this book. I wish to thank my colleagues at the University of Konstanz Frank G- hard,DieterHess,JoachimInkmann,MarkusJochmann,StefanKlotz,Sandra Lechner and Ingmar Nolte who o ered me advice, inspiration, friendship and successfulco-operations.Moreover,Iamgratefultothestudentresearchass- tantsat the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle Tucker and Nadine Warmuth who did a lot of editing work.

Arvustused

From the reviews of the first edition:









"This book regards financial point processes. Valuable risk and liquidity measures are constructed by defining financial events in terms of price and /or the volume process. Several applications are illustrated." (Klaus Ehemann, Zentralblatt MATH, Vol. 1081, 2006)

Muu info

Springer Book Archives
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.
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