High Frequency Financial Econometrics
Editor
- Luc Bauwens(Voie du Roman Pays)Winfried Pohlmeier(University of Konstanz)David Veredas(Université Libre des Bruxelles)
Abstract
No abstract is available for this item.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), 2008. "High Frequency Financial Econometrics," Studies in Empirical Economics, Springer, number 978-3-7908-1992-2, September.
Handle: RePEc:spr:stemec:978-3-7908-1992-2
DOI: 10.1007/978-3-7908-1992-2
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Book Chapters
The following chapters of this book are listed in IDEAS- Luc Bauwens & Winfried Pohlmeier & David Veredas, 2008. "Editor's introduction: recent developments in high frequency financial econometrics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 1-5, Springer.
- Luc Bauwens & Dagfinn Rime & Genaro Sucarrat, 2008. "Exchange rate volatility and the mixture of distribution hypothesis," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 7-29, Springer.
- Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2008. "A multivariate integer count hurdle model: theory and application to exchange rate dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 31-48, Springer.
- Alvaro Escribano & Roberto Pascual, 2008. "Asymmetries in bid and ask responses to innovations in the trading process," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 49-82, Springer.
- Stefan Frey & Joachim Grammig, 2008. "Liquidity supply and adverse selection in a pure limit order book market," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 83-109, Springer.
- Pierre Giot & Joachim Grammig, 2008. "How large is liquidity risk in an automated auction market?," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 111-131, Springer.
- Anthony D. Hall & Nikolaus Hautsch, 2008. "Order aggressiveness and order book dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 133-165, Springer.
- Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2008. "Modelling financial transaction price movements: a dynamic integer count data model," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 167-197, Springer.
- Walid Ben Omrane & Hervé Oppens, 2008. "The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 199-223, Springer.
- Juan M. Rodríguez-Poo & David Veredas & Antoni Espasa, 2008. "Semiparametric estimation for financial durations," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 225-251, Springer.
- Anthony S. Tay & Christopher Ting, 2008. "Intraday stock prices, volume, and duration: a nonparametric conditional density analysis," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 253-268, Springer.
- David Veredas, 2008. "Macroeconomic surprises and short-term behaviour in bond futures," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 269-292, Springer.
- Valeri Voev, 2008. "Dynamic modelling of large-dimensional covariance matrices," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 293-312, Springer.
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