This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.
Modelling Irregularly Spaced Financial Data
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From the reviews of the first edition: "This book regards financial point processes. … Valuable risk and liquidity measures are constructed by defining financial events in terms of price and /or the volume process. Several applications are illustrated." (Klaus Ehemann, Zentralblatt MATH, Vol. 1081, 2006)
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4.0 out of 5 stars
Encyclopedic discussion with some scattered results,
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This review is from: Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models (Lecture Notes in Economics and Mathematical Systems) (Paperback)
The point process, where the duration between events is the primary objective of the model, is becoming more common place in financial modeling, especially in the high frequency domain. The classical work horse is the exponential distribution - analogous to the Brownian motion for log-returns. As with returns there is strong support for the hypothesis that durations are time varying, requiring the equivalence of ARCH/GARCH type models for durations as well, i.e. the Autoregressive Conditional Duration (ACD) models.This book does a good job introducing the reader to the field, an overview of the standard ACD model driven by the exponential distribution (and other distributions with positive support). It also presents a consistent framework for generalizing the basic ACD model including a number of different models suggested in the academic literature so far - as well as models that remain to be proposed - including semi-parametric, non-parametric and multivariate models. If you do any duration / intensity based estimation of financial statistics this is a good read to widen your frame of reference.
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Key Phrases - Statistically Improbable Phrases (SIPs):
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baseline intensity function, dynamic intensity models, given excess volume, overnight spells, conditional mean restriction, dynamic point processes, conditional duration model, financial durations, trade durations, microstructure hypotheses, tick price changes, local calendar time, quote durations, news impact curve, plain durations, trading intensity, tick volatility, seasonality function, price durations, pooled process, integrated intensity function, categorized durations, news response function, backward recurrence time, microstructure variables Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Bayes Information Criterion, Philip Morris, Min Max, German Stock Exchange, Obs Mean, General Electric, Home Depot, Australian Stock Exchange, Diagnostics Ohs, New York Stock Exchange, Ohs Mean New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
baseline intensity function, dynamic intensity models, given excess volume, overnight spells, conditional mean restriction, dynamic point processes, conditional duration model, financial durations, trade durations, microstructure hypotheses, tick price changes, local calendar time, quote durations, news impact curve, plain durations, trading intensity, tick volatility, seasonality function, price durations, pooled process, integrated intensity function, categorized durations, news response function, backward recurrence time, microstructure variables Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Bayes Information Criterion, Philip Morris, Min Max, German Stock Exchange, Obs Mean, General Electric, Home Depot, Australian Stock Exchange, Diagnostics Ohs, New York Stock Exchange, Ohs Mean New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
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