High Frequency Financial Econometrics Recent Developments
This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal wit...
| Other Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Heidelberg
Physica
2008, 2008
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| Edition: | 1st ed. 2008 |
| Series: | Studies in Empirical Economics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Editor's introduction: recent developments in high frequency financial econometrics
- Exchange rate volatility and the mixture of distribution hypothesis
- A multivariate integer count hurdle model: theory and application to exchange rate dynamics
- Asymmetries in bid and ask responses to innovations in the trading process
- Liquidity supply and adverse selection in a pure limit order book market
- How large is liquidity risk in an automated auction market?
- Order aggressiveness and order book dynamics
- Modelling financial transaction price movements: a dynamic integer count data model
- The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market
- Semiparametric estimation for financial durations
- Intraday stock prices, volume, and duration: a nonparametric conditional density analysis
- Macroeconomic surprises and short-term behaviour in bond futures
- Dynamic modelling of large-dimensional covariance matrices