High frequency financial econometrics : recent developments
著者
書誌事項
High frequency financial econometrics : recent developments
(Studies in empirical economics)
Physica-Verlag, c2008
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注記
"Parts of the papers have been first published in 'Empirical economics,' vol. 30, no. 4, 2006."--T.p. verso
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
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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