Modelling financial high frequency data using point processes

Luc Bauwens and Nikolaus Hautsch

No 2006080, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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: C32 C41 (search for similar items in EconPapers)
Date: 2006-09
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Citations: View citations in EconPapers (14)

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Related works:
Working Paper: Modelling financial high frequency data using point processes (2009)
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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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2006080

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