Modelling irregularly spaced financial data : theory and practice of dynamic duration models /
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| Author / Creator: | Hautsch, Nikolaus. |
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| Imprint: | Berlin : Springer, 2004. |
| Description: | xii, 291 p. : ill. ; 24 cm. |
| Language: | English |
| Series: | Lecture notes in economics and mathematical systems, 0075-8450 ; 539 Lecture notes in economics and mathematical systems 539. |
| Subject: | |
| Format: | Dissertations Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5160900 |
| Summary: | This book has been written as a doctoral dissertation at the Department of Economics at the University of Konstanz. I am indebted to my supervisor Winfried Pohlmeier for providing a stimulating and pleasant research en- ronment and his continuous support during my doctoral studies. I strongly bene'tted from inspiring discussions with him, his valuable advices and he- ful comments regarding the contents and the exposition of this book. I am grateful to Luc Bauwens for refereeing my work as a second super- sor. Moreover, I wish to thank him for o'ering me the possibility of a research visit at the Center of Operations Research and Econometrics (CORE) at the Universit e Catholique de Louvain. Important parts of this book have been conceived during this period. Similarly, I am grateful to Tony Hall who invited me for a research visit at the University of Technology, Sydney, and provided me access to an excellent database from the Australian Stock Exchange. I would like to thank him for his valuable support and the permission to use this data for empirical studies in this book. I wish to thank my colleagues at the University of Konstanz Frank G- hard, DieterHess, JoachimInkmann, MarkusJochmann, StefanKlotz, Sandra Lechner and Ingmar Nolte who o'ered me advice, inspiration, friendship and successfulco-operations.Moreover, Iamgratefultothestudentresearchass- tantsat the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle Tucker and Nadine Warmuth who did a lot of editing work. |
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| Physical Description: | xii, 291 p. : ill. ; 24 cm. |
| Bibliography: | Includes bibliographic references and index. |
| ISBN: | 3540211349 |
| ISSN: | 0075-8450 ; |