Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Kõrgsagedusandmed ja turu mikrostuktuuri analüüs× | Intressimudelite (Vasicek, CIR, Nelson-Siegel) perekond× | |
|---|---|---|
| Valdkond | Rahandus | Rahandus |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2007 | 1977 |
| Looja≠ | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) | Vasicek (1977); Nelson & Siegel (1987) |
| Tüüp≠ | Market microstructure / high-frequency econometrics | Term-structure / short-rate model |
| Algallikas≠ | Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649 | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ |
| Rööpnimetused≠ | market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı | term structure models, short-rate models, yield curve models, Vasicek model |
| Seotud | 5 | 5 |
| Kokkuvõte≠ | Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014). | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). |
| ScholarGateAndmestik ↗ |
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