High Frequency Financial Econometrics Recent Developments /

• Corporate Author: SpringerLink (Online service)
• Other Authors: Bauwens, Luc (Editor), Pohlmeier, Winfried (Editor), Veredas, David (Editor)
• Format: Electronic eBook
• Language: English
• Published: Heidelberg : Physica-Verlag HD, 2008.
• Series: Studies in Empirical Economics
• Subjects: Finance.; Economics, Mathematical.; Statistics.; Econometrics.; Macroeconomics.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; Quantitative Finance.; Finance, general.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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...