TY  - BOOK
AU  - Bauwens,Luc
AU  - Pohlmeier,Winfried
AU  - Veredas,David
TI  - High frequency financial econometrics: recent developments 
T2  - Studies in empirical economics
SN  - 3790819913
AV  - HG106 .H54 2007
U1  - 332.015195 22
PY  - 2008///]
CY  - Heidelberg, New York
PB  - Physica-Verlag
KW  - Finance
KW  - Econometric models
KW  - Econometrics
KW  - Foreign exchange rates
N1  - 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
ER  -