The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric...

I. The Statistical Model -- 1.1 Notation -- 1.2 Interpretation -- 1.3 Likelihood function -- II. Bayesian Inference: The Extended Natural-Conjugate Approach -- II.1 Two reformulations of the likelihood function -- II.2 The extended natural-conjugate prior density -- II.3 Posterior densities --...

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...