title: Econometrics of Financial High-Frequency Data
author:  Nikolaus Hautsch 
description: The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
zlib_text: Econometrics of Financial High-Frequency Data
  
  •
  
  Nikolaus Hautsch
  Econometrics of Financial
  High-Frequency Data
  123
  
  Professor Dr. Nikolaus Hautsch
  Institute for Statistics and Econometrics
  School of Business and Economics
  Humboldt-Universit¨at zu Berlin
  Spandauer Str. 1
  10178 Berlin
  Germany
  nikolaus.hautsch@wiwi.hu-berlin.de
  ISBN 978-3-642-21924-5
  e-ISBN 978-3-642-21925-2
  DOI 10.1007/978-3-642-21925-2
  Springer Heidelberg Dordrecht London New York
  Library of Congress Control Number: 2011938812
  c� Springer-Verlag Berlin Heidelberg 2012
  This work is subject to copyright. All rights are reserved, whether the whole or part of the material is
  concerned, speciﬁcally the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting,
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  or parts thereof is permitted only under the provisions of the German Copyright Law of September 9,
  1965, in its current version, and pe