Publication: The econometrics of randomly spaced financial data: a survey
dc.affiliation.dpto | UC3M. Departamento de EstadĂstica | es |
dc.contributor.author | Monteiro, André A. | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de EstadĂstica | |
dc.date.accessioned | 2009-12-16T11:06:31Z | |
dc.date.available | 2009-12-16T11:06:31Z | |
dc.date.issued | 2009-12 | |
dc.description.abstract | This paper provides an introduction to the problem of modeling randomly spaced longitudinal data. Although Point Process theory was developed mostly in the sixties and early seventies, only in the nineties did this field of Probability theory attract the attention of researchers working in Financial Econometrics. The large increase, observed since, in the number of different classes of Econometric models for dealing with financial duration data, has been mostly due to the increased availability of both trade-by-trade data from equity markets and daily default and rating migration data from credit markets. This paper provides an overview of the main Econometric models available in the literature for dealing with what is sometimes called tick data. Additionally, a synthesis of the basic theory underlying these models is also presented. Finally, a new theorem dealing with the identifiability of latent intensity factors from point process data, jointly with a heuristic proof, is introduced. | |
dc.format.mimetype | application/pdf | |
dc.identifier.repec | ws097924 | |
dc.identifier.uri | https://hdl.handle.net/10016/5995 | |
dc.language.iso | eng | |
dc.relation.ispartofseries | UC3M Working papers. Statistics and Econometrics | |
dc.relation.ispartofseries | 09-24 | |
dc.rights | AtribuciĂ³n-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | EstadĂstica | |
dc.subject.jel | C22 | |
dc.subject.jel | C32 | |
dc.subject.jel | C34 | |
dc.subject.jel | C41 | |
dc.subject.jel | G10 | |
dc.subject.other | Tick data | |
dc.subject.other | Financial duration models | |
dc.subject.other | Point processes | |
dc.subject.other | Migration models | |
dc.title | The econometrics of randomly spaced financial data: a survey | |
dc.type | working paper | * |
dspace.entity.type | Publication |
Files
Original bundle
1 - 1 of 1