Econometric modelling of stock market intraday activity
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Econometric modelling of stock market intraday activity

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Published by Kluwer Academic Publishers in Boston .
Written in English

Subjects:

  • Stocks -- Prices -- Econometric models,
  • Stock exchanges -- Econometric models,
  • Day trading (Securities) -- Econometric models

Book details:

Edition Notes

Includes bibliographical references (p. 161-172) and index

Statementby Luc Bauwens and Pierre Giot
SeriesAdvanced studies in theoretical and applied econometrics -- v. 38
ContributionsGiot, Pierre
Classifications
LC ClassificationsHG4515.2 .B384 2001
The Physical Object
Paginationxv, 177 p. :
Number of Pages177
ID Numbers
Open LibraryOL17028509M
ISBN 10079237424X
LC Control Number2001038183

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Econometric Modelling of Stock Market Intraday Activity. Authors: Bauwens, Luc, Giot, Pierre Econometric Modelling of Stock Market Intraday Activity Authors. Luc Bauwens *immediately available upon purchase as print book shipments may be delayed due to the COVID crisis. ebook access is temporary and does not include ownership of the. Econometric Modelling of Stock Market Intraday Activity. Authors (view affiliations) k Downloads; Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 38) Log in to check access of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE). Recent quantitative modelling tools such as intraday duration models and GARCH modes are presented. Econometric Modelling of Stock Market Intraday Activity, Libro in Inglese di Bauwens Luc, Giot Pierre. Spedizione gratuita per ordini superiori a 25 euro. Acquistalo su ! Pubblicato da Springer US,

Kupte si knihu Econometric Modelling of Stock Market Intraday Activity: Bauwens, Luc;Giot, Pierre: za nejlepší cenu se slevou. Podívejte se i na další z miliónů zahraničních knih v naší nabídce. Zasíláme rychle a levně po ČR. Cite this chapter as: Bauwens L., Giot P. () Intraday Duration Models. In: Econometric Modelling of Stock Market Intraday Activity. Advanced Studies in Theoretical and Applied Econometrics, vol The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial Econometrics and market etric Modelling of Stock Market Intraday Activity focuses on the Econometric Modelling of Stock Market Intraday Activity focuses on the.   Econometrics is the application of statistical and mathematical models to economic data for the purpose of testing theories, hypotheses, and future trends.

Get this from a library! Econometric modelling of stock market intraday activity. [Luc Bauwens; Pierre Giot] -- "The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market.   Econometric Modelling of Stock Market Intraday Activity Luc Bauwens, Professor of Economics Centre for Operations Research and Econometrics [Core] Luc Bauwens, Pierre Giot Limited preview - All Book Search results »5/5(1).   1. Introduction. The increasing availability of data at the highest frequency possible (tick-by-tick) has allowed for many advances in the field of the quantitative analysis of financial markets (for a recent survey, cf. Engle and Russell, ).Different data sets allow for different types of economic or econometric analysis, spanning from time series analysis (volatility, duration, etc.) to. Econometric Modelling of Stock Market Intraday Activity estimation and evaluation. The book then shows how to use Bayesian methods in a range of models especially suited to the analysis of macroeconomic and financial time series. Econometric Modelling of Stock Market Intraday Activity Luc Bauwens, Pierre Giot