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Modelling financial high frequency data using point processes

  • BAUWENS, Luc
  • HAUTSCH, Nikolaus

In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models.

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers RP with number 2123.

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Handle: RePEc:cor:louvrp:2123
Note: In : T.G. Andersen, R.A. Davis, J.-P. Kreiss, and T. Mikosch (eds.), Handbook of Financial Time Series. Springer-Verlag Heidelberg, 953-979, 2009
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