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High Frequency Financial Econometrics Recent Developments /

This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal wit...

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Détails bibliographiques
Cote:Libro Electrónico
Collectivité auteur: SpringerLink (Online service)
Autres auteurs: Bauwens, Luc (Éditeur intellectuel), Pohlmeier, Winfried (Éditeur intellectuel), Veredas, David (Éditeur intellectuel)
Format: Électronique eBook
Langue:Inglés
Publié: Heidelberg : Physica-Verlag HD : Imprint: Physica, 2008.
Édition:1st ed. 2008.
Collection:Studies in Empirical Economics,
Sujets:
Accès en ligne:Texto Completo
Table des matières:
  • 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 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 analysis
  • Macroeconomic surprises and short-term behaviour in bond futures
  • Dynamic modelling of large-dimensional covariance matrices.