High frequency financial econometrics : recent developments / Luc Bauwens, Winfried Pohlmeier, David Veredas (eds.).
Material type: TextSeries: Studies in empirical economicsPublisher: Heidelberg ; New York : Physica-Verlag, [2008]Copyright date: ©2008Description: vi, 312 pages : illustrations ; 24 cmContent type:- text
- unmediated
- volume
- 3790819913
- 9783790819915
- 332.015195 22
- HG106 .H54 2007
Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|
Book | City Campus City Campus Main Collection | 332.015195 HIG (Browse shelf(Opens below)) | 1 | Available | A496915B |
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.
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