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Author:   Luc Bauwens ,  Winfried Pohlmeier ,  David Veredas
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Physica-Verlag GmbH & Co
Edition:   2008 ed.
Dimensions:   Width: 15.50cm , Height: 1.90cm , Length: 23.50cm
Weight:   1.380kg
ISBN:  

9783790819915

ISBN 10:   3790819913
Pages:   312
Publication Date:   26 October 2007
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

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 innovations in the trading process.- Liquidity supply and adverse selection in a pure limit order 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 analysis.- Macroeconomic surprises and short-term behaviour in bond futures.- Dynamic modelling of large-dimensional covariance matrices.

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