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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.

Finance --- Economics --- Econometrics --- Econometric models --- Finance -- Econometric models. --- Economics, Mathematical. --- Econometrics. --- Macroeconomics. --- Economics. --- Macroeconomics/Monetary Economics//Financial Economics. --- Quantitative Finance. --- Foreign exchange rates --- Econometric models. --- 332.0151 --- 305.91 --- 305.970 --- AA / International- internationaal --- Economics, Mathematical --- Statistics --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Finance - Econometric models

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351.713*23 --- 339.54 --- 339.92 --- #ECO:01.07:economie handel nationaal internationaal --- #ECO:05.02:landen EU West-Europa --- AA / International- internationaal --- 334.153.1 --- 334.154.1 --- 339.92 Economische samenwerking en integratie. Tolunie --- Economische samenwerking en integratie. Tolunie --- 339.54 Buitenlandse economische politiek. Buitenlandse handelspolitiek. Instrumentarium van de buitenlandse handel --- Buitenlandse economische politiek. Buitenlandse handelspolitiek. Instrumentarium van de buitenlandse handel --- 351.713*23 Douane en accijnzen --- Douane en accijnzen --- Handel, douanetarief en handelsakkoorden in de Europese Gemeenschappen. --- Verkeer van personen en goederen. vestiging van personen. Technische beperkingen. Vrijheid van beroep. Openbare markten. Europese eenheidsmarkt. --- Foreign trade policy --- Tax law --- European law --- Tariff --- European Union countries --- Handel, douanetarief en handelsakkoorden in de Europese Gemeenschappen --- Verkeer van personen en goederen. vestiging van personen. Technische beperkingen. Vrijheid van beroep. Openbare markten. Europese eenheidsmarkt