Econometric modelling of stock market intraday activity /

Econometric modelling of stock market intraday activity /

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Bibliographic Details
Author / Creator:	Bauwens, Luc, 1952-
Imprint:	Boston : Kluwer Academic Publishers, c2001.
Description:	xv, 177 p. : ill. ; 25 cm.
Language:	English
Series:	Advanced studies in theoretical and applied econometrics ; v. 38
Subject:	Stocks -- Prices -- Econometric models Stock exchanges -- Econometric models. Day trading (Securities) -- Econometric models. Stock exchanges -- Econometric models.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/4501356

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Other authors / contributors:	Giot, Pierre.
ISBN:	079237424X (alk. paper)
Notes:	Includes bibliographical references (p. 161-172) and index.

Table of Contents:

Acknowledgments
Introduction
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
Index