High Frequency Financial Econometrics Recent Developments /

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Bauwens, Luc (Επιμελητής έκδοσης), Pohlmeier, Winfried (Επιμελητής έκδοσης), Veredas, David (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Heidelberg : Physica-Verlag HD, 2008.
• Σειρά: Studies in Empirical Economics
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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.