Bauwens / Pohlmeier / Veredas | High Frequency Financial Econometrics | Buch | sack.de

Bauwens / Pohlmeier / Veredas High Frequency Financial Econometrics



Recent Developments

2008, 312 Seiten, Gebunden, Book, Format (B × H): 155 mm x 235 mm, Gewicht: 626 g Reihe: Studies in Empirical Economics
ISBN: 978-3-7908-1991-5
Verlag: Physica-Verlag


Bauwens / Pohlmeier / Veredas High Frequency Financial Econometrics

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.

Zielgruppe


Research

Weitere Infos & Material


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.


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