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_a3790819913 _qhardcover (alk. paper) |
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_a9783790819915 _qhardcover (alk. paper) |
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035 | _a(ATU)b1219296x | ||
035 | _a(OCoLC)191846736 | ||
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_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. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_aunmediated _bn _2rdamedia |
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338 |
_avolume _bnc _2rdacarrier |
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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 |
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650 | 0 |
_aEconometrics. _9345416 |
|
650 | 0 |
_aForeign exchange rates _xEconometric models _9796155 |
|
700 | 1 |
_aPohlmeier, Winfried, _eauthor. _91078189 |
|
700 | 1 |
_aVeredas, David, _eauthor. _91078190 |
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830 | 0 |
_aStudies in empirical economics. _91078111 |
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