Modelling Financial High Frequency Data using Point Processes
Authors:
Preprint
- 1 September 2006
- preprint
- Published by Elsevier in SSRN Electronic Journal
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
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