High Frequency Financial Econometrics : Recent Developments

edited by Luc Bauwens, Winfried Pohlmeier, David Veredas

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.

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Year of publication:	2008
Other Persons:	Bauwens, Luc (contributor) ; Pohlmeier, Winfried (contributor) ; Veredas, David (contributor)
Publisher:	Heidelberg : Physica-Verlag Heidelberg
Subject:	Finanzmarkt \| Financial market \| Ökonometrie \| Econometrics \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Welt \| World
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de]

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Extent:	Online-Ressource (VI, 312 p. 57 illus, digital)
Series:	Studies in Empirical Economics SpringerLink / Bücher
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatzsammlung
Language:	English
Notes:	Literaturangaben Front Matter; 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 innovations in the trading process; Liquidity supply and adverse selection in a pure limit order 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 modelThe 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 analysis; Macroeconomic surprises and short-term behaviour in bond futures; Dynamic modelling of large-dimensional covariance matrices
ISBN:	978-3-7908-1992-2 ; 978-3-7908-1991-5
Other identifiers:	10.1007/978-3-7908-1992-2 [DOI]
Classification:	Methoden und Techniken der Volkswirtschaft ; Geld, Inflation, Kapitalmarkt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013520878