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Item Details
| Title:
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ECONOMETRIC MODELLING OF STOCK MARKET INTRADAY ACTIVITY
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| By: |
Luc Bauwens, Pierre Giot |
| Format: |
Hardback |
| List price:
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£129.99 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
079237424X |
| ISBN 13: |
9780792374244 |
| Publisher: |
SPRINGER |
| Pub. date: |
31 August, 2001 |
| Edition: |
2001 ed. |
| Series: |
Advanced Studies in Theoretical and Applied Econometrics 38 |
| Pages: |
180 |
| Description: |
Focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE). This title presents quantitative modelling tools such as intraday duration models and GARCH modes. It also includes a survey of trading mechanisms in financial markets. |
| Synopsis: |
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 work by Box and Jenkins (1976), who introduced a gen- eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro- duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil- ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled. |
| Illustrations: |
XV, 180 p. |
| Publication: |
Netherlands |
| Imprint: |
Springer |
| Returns: |
Returnable |
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