High Frequency Financial Econometrics
(Sprache: Englisch)
Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market...
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Klappentext zu „High Frequency Financial Econometrics “
Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.
Inhaltsverzeichnis zu „High Frequency Financial Econometrics “
- Editor's introduction: Recent developments in high frequency financial econometrics- Exchange rate volatility and the mixture of distribution hypothesis
- A multivariate integer count hurdle model: Theory and application to exchange rate dynamics
- Asymmetries in bid and ask responses to innovation in the trading process
- Liquidity supply and adverse selection in a pure limit oder book market
- How large is liquidity risk in an automated auction market
- Order aggressiveness and order book dynamics
- Modelling financial transaction price movements: a dynamic integer count data model
- The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market
- Semiparametric estimation for financial durations
- Intraday stock prices, volume, and duration: a nonparametric conditional density approach
- Macroeconomic surprises and short-term behaviour in bond futures
- Dynamic modelling of large dimensional covariance matrices
Bibliographische Angaben
- 2008, VI, 312 Seiten, mit Abbildungen, Masse: 16,2 x 24,5 cm, Gebunden, Englisch
- Herausgegeben: Luc Bauwens, Winfried Pohlmeier, David Veredas
- Verlag: Physica
- ISBN-10: 3790819913
- ISBN-13: 9783790819915
- Erscheinungsdatum: 26.10.2007
Sprache:
Englisch
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