Modelling Financial High Frequency Data Using Point Processes

Luc Bauwens () and Nikolaus Hautsch ()

No 2006039, Discussion Papers (ECON - Département des Sciences Economiques) from Université catholique de Louvain, Département des Sciences Economiques

Abstract: In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models

Keywords: Duration; Intensity; Point process; High frequency data; ACD models (search for similar items in EconPapers)
JEL-codes: C41 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
Date: 2006-09-18
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Related works:
Working Paper: Modelling Financial High Frequency Data Using Point Processes (2007)
Working Paper: Modelling financial high frequency data using point processes (2006)
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