High Frequency Financial Econometrics

Edited by Luc Bauwens, Winfried Pohlmeier () and David Veredas ()

in Studies in Empirical Economics from Springer, currently edited by Badi H. Baltagi, Bernd Fitzenberger, Robert M. Kunst and Heather M. Anderson

Date: 2008
ISBN: 978-3-7908-1992-2
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Chapters in this book:

Editor's introduction: recent developments in high frequency financial econometrics

Luc Bauwens, Winfried Pohlmeier and David Veredas

Exchange rate volatility and the mixture of distribution hypothesis

Luc Bauwens, Dagfinn Rime and Genaro Sucarrat

A multivariate integer count hurdle model: theory and application to exchange rate dynamics

Katarzyna Bień-Barkowska, Ingmar Nolte and Winfried Pohlmeier

Asymmetries in bid and ask responses to innovations in the trading process

Alvaro Escribano and Roberto Pascual

Liquidity supply and adverse selection in a pure limit order book market

Stefan Frey and Joachim Grammig

How large is liquidity risk in an automated auction market?

Pierre Giot and Joachim Grammig

Order aggressiveness and order book dynamics

Anthony Hall and Nikolaus Hautsch

Modelling financial transaction price movements: a dynamic integer count data model

Roman Liesenfeld, Ingmar Nolte and Winfried Pohlmeier

The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market

Walid Ben Omrane and Hervé Oppens

Semiparametric estimation for financial durations

Juan M. Rodríguez-Poo, David Veredas and Antoni Espasa

Intraday stock prices, volume, and duration: a nonparametric conditional density analysis

Anthony S. Tay and Christopher Ting

Macroeconomic surprises and short-term behaviour in bond futures

David Veredas

Dynamic modelling of large-dimensional covariance matrices

Valeri Voev

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DOI: 10.1007/978-3-7908-1992-2

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