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The Availability Of Financial Data Recorded On Highfrequency Level Has Inspired A Research Area Which Over The Last Decade Emerged To A Major Area In Econometrics And Statistics. The Growing Popularity Of Highfrequency Econometrics Is Driven By Technological Progress In Trading Systems And An Increasing Importance Of Intraday Trading, Liquidity Risk, Optimal Order Placement As Well As Highfrequency Volatility. This Book Provides A Stateofthe Art Overview On The Major Approaches In Highfrequency Econometrics, Including Univariate And Multivariate Autoregressive Conditional Mean Approaches For Different Types Of Highfrequency Variables, Intensitybased Approaches For Financial Point Processes And Dynamic Factor Models. It Discusses Implementation Details, Provides Insights Into Properties Of Highfrequency Data As Well As Institutional Settings And Presents Applications To Volatility And Liquidity Estimation, Order Book Modelling And Market Microstructure Analysis.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer,
birth defects, or other reproductive harm.
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⚠️ California Proposition 65 Warning: Some products sold on this website may expose you to chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm. For more information, visit www.P65Warnings.ca.gov.
