RT Generic
T1 The econometrics of randomly spaced financial data: a survey
A1 Monteiro, André A.
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB This paper provides an introduction to the problem of modeling randomly spacedlongitudinal data. Although Point Process theory was developed mostly in the sixtiesand early seventies, only in the nineties did this field of Probability theory attract theattention of researchers working in Financial Econometrics. The large increase,observed since, in the number of different classes of Econometric models for dealingwith financial duration data, has been mostly due to the increased availability of bothtrade-by-trade data from equity markets and daily default and rating migration data fromcredit markets. This paper provides an overview of the main Econometric modelsavailable 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 frompoint process data, jointly with a heuristic proof, is introduced.
YR 2009
FD 2009-12
LK https://hdl.handle.net/10016/5995
UL https://hdl.handle.net/10016/5995
LA eng
DS e-Archivo
RD 28 may. 2024