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Erschienen in:
2009 | OriginalPaper | Buchkapitel
Modelling Financial High Frequency Data Using Point Processes
verfasst von : Luc Bauwens, Nikolaus Hautsch
Erschienen in: Handbook of Financial Time Series
Verlag: Springer Berlin Heidelberg
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We survey the modelling of financial markets transaction data characterized by irregular spacing in time, in particular so-called financial durations.We begin by reviewing the important concepts of point process theory, such as intensity functions, compensators and hazard rates, and then the intensity, duration, and counting representations of point processes. Next, in two separate sections, we review dynamic duration models, especially autoregressive conditional duration models, and dynamic intensity models (Hawkes and autoregressive intensity processes). In each section, we discuss model specification, statistical inference and applications.