Modelling Irregularly Spaced Financial Data
Theory and Practice of Dynamic Duration Models
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Autor*in
Nikolaus Hautsch
Themen in »Modelling Irregularly Spaced Financial Data«
Dynamic Duration Models Financial Transaction Data Multivariate Intensity Models Multivariate Point Processes Volatility and Liquidity Estimation linear optimization modeling quantitative finance
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From the reviews of the first edition:
"This book regards financial point processes. … Valuable risk and liquidity measures are constructed by defining financial events in terms of price and /or the volume process. Several applications are illustrated." (Klaus Ehemann, Zentralblatt MATH, Vol. 1081, 2006)
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Details
ISBN: 9783540211341
Verlag: Springer Berlin
Erscheinung: 06.04.2004