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High Frequency Financial Econometrics

High Frequency Financial Econometrics

 

219,86 €
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Editorial:
Springer Nature B.V.
Año de edición:
2010
Materia
Macroeconomía
ISBN:
9783790825404
219,86 €
IVA incluido
Disponible

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Sobre IBD

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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