Modelling financial high frequency data using point processes.

Bauwens, Luc;Hautsch, Nikolaus
(2006)

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  • Bauwens, Lucorcid-logoUCLouvain
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  • Hautsch, Nikolaus
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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.
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Bauwens, L., & Hautsch, N. (2006). Modelling financial high frequency data using point processes. (ECON Working Papers 2006/39). https://hdl.handle.net/2078.5/130220