High frequency financial econometrics : recent developments /
| Corporate Author: | |
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| Other Authors: | , , |
| Format: | eBook |
| Language: | English |
| Published: |
New York :
Springer,
[2008]
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| Series: | Studies in empirical economics.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Editor's introduction : recent developments in high frequency financial econometrics / L. Bauwens, W. Pohlmeier and D. Veredas
- Exchange rate volatility and the mixture of distribution hypothesis / L. Bauwens, D. Rime and G. Sucarrat
- A multivariate integer count hurdle model : theory and application to exchange rate dynamics / K. Bien, I. Nolte and W. Pohlmeier
- Asymmetries in bid and ask responses to innovations in the trading process / A. Escribano and R. Pascual
- Liquidity supply and adverse selection in a pure limit order book market / S. Frey and J. Grammig
- How large is liquidity risk in an automated auction market? / P. Giot and J. Grammig
- Order aggressiveness and order book dynamics / A.D. Hall and N. Hautsch
- Modelling financial transaction price movements : a dynamic integer count data model / R. Liesenfeld, I. Nolte and W. Pohlmeier
- The performance analysis of chart patterns : Monte Carlo simulation and evidence from the euro/dollar foreign exchange market / W.B. Omrane and H. Van Oppens
- Semiparametric estimation for financial durations / J.M. RodrÃguez-Poo, D. Veredas and A. Espasa
- Intraday stock prices, volume, and duration : a nonparametric conditional density analysis / A.S. Tay and C. Ting
- Macroeconomic surprises and short-term behaviour in bond futures / D. Veredas
- Dynamic modelling of large-dimensional covariance matrices / V. Voev.