Econometric Modelling of Stock Market Intraday Activity
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal wo...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
New York, NY
Springer US
2001, 2001
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| Edition: | 1st ed. 2001 |
| Series: | Advanced Studies in Theoretical and Applied Econometrics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- 1. Market Microstructure, Trading Mechanisms and Exchanges
- 2. NYSE TAQ Database and Financial Durations
- 3. Intraday Duration Models
- 4. Empirical Results and Extensions
- 5. Intraday Volatility and Value-at-Risk
- About the Authors