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Modelling financial high frequency data using point processes

Author

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  • BAUWENS, Luc
  • HAUTSCH, Nikolaus

Abstract

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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Suggested Citation

  • BAUWENS, Luc & HAUTSCH, Nikolaus, 2009. "Modelling financial high frequency data using point processes," LIDAM Reprints CORE 2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • 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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    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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