Modelling Irregularly Spaced Financial Data Theory and Practice of D
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Springer-Verlag Berlin Heidelberg GmbH
Nikolaus Hautsch
Modelling Irregularly Spaced Financial Data Theory and Practice of Dynamic Duration Models
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Author Nikolaus Hautsch Institute of Economics University of Copenhagen Studiestraede 6 1455 Copenhagen K Denmark
Library of Congress Control Number: 2004103616
ISSN 0075-8442
ISBN 978-3-540-21134-1 ISBN 978-3-642-17015-7 (eBook) DOI 10.1007/978-3-642-17015-7 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law.
springeronline.com © Springer-Verlag Berlin Heidelberg 2004 Originally published by Springer-Verlag Berlin Heidelberg New York in 2004 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author Cover design: Erich Kirchner, Heidelberg Printed on acid-free paper
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To Christiane
Preface
This book has been written as a doctoral dissertation at the Department of Economics at the University of Konstanz. I am indebted to my supervisor Winfried Pohlmeier for providing a stimulating and pleasant research environment and his continuous support during my doctoral studies. I strongly benefitted from inspiring discussions with him, his valuable advices and helpful comments regarding the contents and the exposition of this book. I am grateful to Luc Bauwens for refereeing my work as a second supervisor. Moreover, I wish to thank him for offering me the possibility of a research visit at the Center of Operations Research and Econometrics (CORE) at the Universit´e Catholique de Louvain. Important parts of this book have been conceived during this period. Similarly, I am grateful to Tony Hall who invited me for a research visit at the University of Technology, Sydney, and provided me access to an excellent database from the Australian Stock Exchange. I would like to thank him for his valuable support and the permission to use this data for empirical studies in this book. I wish to thank my colleagues at the University of Konstanz Frank Gerhard, Dieter Hess, Joachim Inkmann, Markus Jochmann, Stefan Klotz, Sandra Lechner and Ingmar Nolte who offered me advice, inspiration, friendship and successful co-operations. Moreover, I am grateful to the student research assistants at the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle
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