E-Book, Englisch, 312 Seiten, eBook
Bauwens / Pohlmeier / Veredas High Frequency Financial Econometrics
2008
ISBN: 978-3-7908-1992-2
Verlag: Physica
Format: PDF
Kopierschutz: 1 - PDF Watermark
Recent Developments
E-Book, Englisch, 312 Seiten, eBook
Reihe: Studies in Empirical Economics
ISBN: 978-3-7908-1992-2
Verlag: Physica
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
