Modelling irregularly spaced financial data : theory and practice of dynamic duration models /

Modelling irregularly spaced financial data : theory and practice of dynamic duration models /

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Bibliographic Details
Author / Creator:	Hautsch, Nikolaus.
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:	Econometrics. Finance -- Mathematical models. Economic forecasting -- Mathematical models. Economics, Mathematical. Econometrics. Economic forecasting -- Mathematical models. Finance -- Econometric models. Finance -- Mathematical models.
Format:	Dissertations Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/5160900

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ISBN:	3540211349 (pbk.)
Notes:	Thesis (doctoral) - Universität, Konstanz. Includes bibliographic references and index.

Table of Contents:

1. Introduction
2. Point processes
3. Economic implications of financial durations
4. Statistical properties of financial durations
5. Autoregressive conditional duration models
6. Semiparametric dynamic proportional intensity models
7. Univariate and multivariate dynamic intensity models
8. Summary and conclusions
A. Important distributions for duration data.