Econometrics of Financial High-Frequency Data

This book covers major approaches in high-frequency econometrics. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications.

The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

1 Introduction. - 2 Microstructure Foundations. - 3 Empirical Properties of High-Frequency Data. - 4 Financial Point Processes. - 5 Univariate Multiplicative Error Models. - 6 Generalized Multiplicative Error Models. - 7 Vector Multiplicative Error Models. - 8 Modelling High-Frequency Volatility. - 9 Estimating Market Liquidity. - 10 Semiparametric Dynamic Proportional Hazard Models. - 11 Univariate Dynamic Intensity Models. - 12 Multivariate Dynamic Intensity Models. - 13 Autoregressive Discrete Processes and Quote Dynamics. - Appendix: Important Distributions for Positive-Value Data. - Index.