Bauwens / Pohlmeier / Veredas High Frequency Financial Econometrics

Recent Developments
2008
ISBN: 978-3-7908-1991-5
Verlag: Physica-Verlag

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312 Seiten, Gebunden, Book, Format (B × H): 155 mm x 235 mm, Gewicht: 626 g

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Beschreibung

Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Autoren

Herausgeber

Bauwens, Luc

Pohlmeier, Winfried

Veredas, David

Inhaltsverzeichnis

From the 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 innovation in the trading process.- Liquidity supply and adverse selection in a pure limit oder 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 approach.- Macroeconomic surprises and short-term behaviour in bond futures.- Dynamic modelling of large dimensional covariance matrices.

Zielgruppe

Research

Fachgebiete