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010 _a 2007933836
020 _a3790819913
_qhardcover (alk. paper)
020 _a9783790819915
_qhardcover (alk. paper)
035 _a(ATU)b1219296x
035 _a(OCoLC)191846736
040 _aDLC
_beng
_erda
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050 0 0 _aHG106
_b.H54 2007
082 0 0 _a332.015195
_222
100 1 _aBauwens, Luc,
_d1952-
_eauthor.
_9423400
245 1 0 _aHigh frequency financial econometrics :
_brecent developments /
_cLuc Bauwens, Winfried Pohlmeier, David Veredas (eds.).
264 1 _aHeidelberg ;
_aNew York :
_bPhysica-Verlag,
_c[2008]
264 4 _c©2008
300 _avi, 312 pages :
_billustrations ;
_c24 cm.
336 _atext
_btxt
_2rdacontent
337 _aunmediated
_bn
_2rdamedia
338 _avolume
_bnc
_2rdacarrier
490 1 _aStudies in empirical economics
504 _aIncludes bibliographical references.
505 0 _aEditor'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.
588 _aMachine converted from AACR2 source record.
650 0 _aFinance
_xEconometric models
_9796120
650 0 _aEconometrics.
_9345416
650 0 _aForeign exchange rates
_xEconometric models
_9796155
700 1 _aPohlmeier, Winfried,
_eauthor.
_91078189
700 1 _aVeredas, David,
_eauthor.
_91078190
830 0 _aStudies in empirical economics.
_91078111
907 _a.b1219296x
_b20-03-18
_c28-10-15
942 _cB
945 _a332.015195 HIG
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