EconPapers    
Economics at your fingertips  
 

Modelling financial high frequency data using point processes

Luc Bauwens () and Nikolaus Hautsch ()

No 2006080, CORE Discussion Papers 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: C41 C32 (search for similar items in EconPapers)
Date: 2006-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://uclouvain.be/en/research-institutes/immaq/core/dp-2006.html (text/html)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: Modelling financial high frequency data using point processes (2009)
Working Paper: Modelling Financial High Frequency Data Using Point Processes (2007) Downloads
Working Paper: Modelling Financial High Frequency Data Using Point Processes (2006) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2006080

Access Statistics for this paper

More papers in CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().

 
Page updated 2019-09-20
Handle: RePEc:cor:louvco:2006080