E-Book, Englisch, 312 Seiten
Bauwens / Pohlmeier / Veredas High Frequency Financial Econometrics
2008
ISBN: 978-3-7908-1992-2
Verlag: Physica-Verlag HD
Format: PDF
Kopierschutz: 1 - PDF Watermark
Recent Developments
E-Book, Englisch, 312 Seiten
Reihe: Studies in Empirical Economics
ISBN: 978-3-7908-1992-2
Verlag: Physica-Verlag HD
Format: PDF
Kopierschutz: 1 - PDF Watermark
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/Hrsg.
Weitere Infos & Material
1;Contents;5
2;Editor’s introduction: recent developments in high frequency financial econometrics;7
3;Exchange rate volatility and the mixture of distribution hypothesis;12
4;Asymmetries in bid and ask responses to innovations in the trading process;53
5;Liquidity supply and adverse selection in a pure limit order book market;87
6;How large is liquidity risk in an automated auction market?;114
7;Order aggressiveness and order book dynamics;135
8;Modelling financial transaction price movements: a dynamic integer count data model;168
9;The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market;199
10;Intraday stock prices, volume, and duration: a nonparametric conditional density analysis;251
11;Macroeconomic surprises and short-term behaviour in bond futures;267
12;Dynamic modelling of large-dimensional covariance matrices;291
