Screen LibraryHigh frequency financial econometrics：recent developments
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| Corporate Authors: | |
|---|---|
| Group Author: | ; ; |
| Published: |
Springer,
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| Publisher Address: | New York |
| Publication Dates: | c2008. |
| Literature type: | Book |
| Language: | English |
| Subjects: | |
| Online Access: |
http://dx.doi.org/10.1007/978-3-7908-1992-2 |
| Carrier Form: | vi, 312 p.: ill. ; 24 cm. |
| ISBN: |
9783790819922 (electronic bk.) 3790819921 (electronic bk.) |
| Index Number: | F224 |
| CLC: | F224.0 |
| Contents: |
Includes bibliographical references. 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. Rodríguez-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. |