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Modelling Financial High Frequency Data Using Point Processes

Listed author(s):
  • Luc, BAUWENS

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Department of Economics)

  • Nikolaus, HAUTSCH

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, Département des Sciences Economiques in its series Discussion Papers (ECON - Département des Sciences Economiques) with number 2006039.

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Length: 33
Date of creation: 01 Sep 2006
Handle: RePEc:ctl:louvec:2006039
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