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Econometric Modelling of Stock Market Intraday Activity : Advanced Studies in Theoretical and Applied Econometrics - Luc Bauwens

Econometric Modelling of Stock Market Intraday Activity

Advanced Studies in Theoretical and Applied Econometrics

Hardcover Published: 31st August 2001
ISBN: 9780792374244
Number Of Pages: 180

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Over the past 25 years, applied econometrics has undergone tremen­ dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen­ eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro­ duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil­ ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.

Market Microstructure, Trading Mechanisms and Exchanges
NYSE TAQ Database and Financial Durations
Intraday Duration Models
Empirical Results and Extensions
Intraday Volatility and Value-At-Risk
About the Authors
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780792374244
ISBN-10: 079237424X
Series: Advanced Studies in Theoretical and Applied Econometrics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 180
Published: 31st August 2001
Publisher: Springer
Country of Publication: NL
Dimensions (cm): 23.4 x 15.6  x 1.91
Weight (kg): 1.02