High frequency financial econometrics: recent developments ; with and 64 tables
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Heidelberg [u.a.]
Physica-Verl.
2008
|
| Series: | Studies in empirical economics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI, 312 S. zahlr. graph. Darst. |
| ISBN: | 9783790819915 3790819913 |
Staff View
MARC
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| 245 | 1 | 0 | |a High frequency financial econometrics |b recent developments ; with and 64 tables |c Luc Bauwens ... (eds.) |
| 264 | 1 | |a Heidelberg [u.a.] |b Physica-Verl. |c 2008 | |
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| 490 | 0 | |a Studies in empirical economics | |
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| 650 | 4 | |a Finance |x Econometric models | |
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Record in the Search Index
| _version_ | 1804136942073282560 |
|---|---|
| adam_text | Contents
Editor s introduction: recent developments
in high frequency financial econometrics
........................... 1
L. Bauwens, W. Pohlmeier and
D. Veredas
Exchange rate volatility and the mixture of distribution hypothesis
.... 7
L. Bauwens, D. Rime and G. Sucarrat
A muMvariate integer count hurdle model:
theory and application to exchange rate dynamics
................... 31
K.
Bien,
I. Nolte and W. Pohlmeier
Asymmetries in bid and ask responses to innovations
in the trading process
............................................ 49
A. Escribano
and
R.
Pascual
Liquidity supply and adverse selection
in a pure limit order book market
................................. 83
S.
Frey
and J.
Grammig
How large is liquidity risk in an automated auction market?
.........
Ill
P.
Gioì
and J.
Grammig
Order aggressiveness and order book dynamics
..................... 133
A.D.
Hall and
N.
Hautsch
Modelling financial transaction price movements:
a dynamic integer count data model
............................... 167
R. Liesenfeld, I. Nolte and W. Pohlmeier
The performance analysis of chart patterns:
Monte Carlo simulation and evidence
from the euro/dollar foreign exchange market
...................... 199
W.B. Omrane and H. Van Oppens
Semiparametric estimation for financial durations
.................. 225
J.M. Rodriguez-Poo, D.
Veredas
and
A. Espasa
Contents
Intraday
stock
prices, volume, and duration:
a nonparametric conditional density analysis
....................... 253
A.S.
Тау
and
C. Ting
Macroeconomic surprises and short-term behaviour
in bond futures
.................................................. 269
D. Veredas
Dynamic modelling of large-dimensional covariance matrices
........ 293
V.Voev
|
| adam_txt |
Contents
Editor's introduction: recent developments
in high frequency financial econometrics
. 1
L. Bauwens, W. Pohlmeier and
D. Veredas
Exchange rate volatility and the mixture of distribution hypothesis
. 7
L. Bauwens, D. Rime and G. Sucarrat
A muMvariate integer count hurdle model:
theory and application to exchange rate dynamics
. 31
K.
Bien,
I. Nolte and W. Pohlmeier
Asymmetries in bid and ask responses to innovations
in the trading process
. 49
A. Escribano
and
R.
Pascual
Liquidity supply and adverse selection
in a pure limit order book market
. 83
S.
Frey
and J.
Grammig
How large is liquidity risk in an automated auction market?
.
Ill
P.
Gioì
and J.
Grammig
Order aggressiveness and order book dynamics
. 133
A.D.
Hall and
N.
Hautsch
Modelling financial transaction price movements:
a dynamic integer count data model
. 167
R. Liesenfeld, I. Nolte and W. Pohlmeier
The performance analysis of chart patterns:
Monte Carlo simulation and evidence
from the euro/dollar foreign exchange market
. 199
W.B. Omrane and H. Van Oppens
Semiparametric estimation for financial durations
. 225
J.M. Rodriguez-Poo, D.
Veredas
and
A. Espasa
Contents
Intraday
stock
prices, volume, and duration:
a nonparametric conditional density analysis
. 253
A.S.
Тау
and
C. Ting
Macroeconomic surprises and short-term behaviour
in bond futures
. 269
D. Veredas
Dynamic modelling of large-dimensional covariance matrices
. 293
V.Voev |
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| id | DE-604.BV022718114 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:29:09Z |
| indexdate | 2024-07-09T21:04:24Z |
| institution | BVB |
| isbn | 9783790819915 3790819913 |
| language | English |
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| physical | VI, 312 S. zahlr. graph. Darst. |
| publishDate | 2008 |
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| publisher | Physica-Verl. |
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| series2 | Studies in empirical economics |
| spelling | High frequency financial econometrics recent developments ; with and 64 tables Luc Bauwens ... (eds.) Heidelberg [u.a.] Physica-Verl. 2008 VI, 312 S. zahlr. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Studies in empirical economics Ökonometrisches Modell Econometrics Finance Econometric models Foreign exchange rates Econometric models Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Ökonometrie (DE-588)4132280-0 s Finanzierung (DE-588)4017182-6 s DE-604 Finanzmathematik (DE-588)4017195-4 s 1\p DE-604 Bauwens, Luc 1952- Sonstige (DE-588)17029837X oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015923877&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | High frequency financial econometrics recent developments ; with and 64 tables Ökonometrisches Modell Econometrics Finance Econometric models Foreign exchange rates Econometric models Finanzmathematik (DE-588)4017195-4 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4132280-0 (DE-588)4017182-6 (DE-588)4143413-4 |
| title | High frequency financial econometrics recent developments ; with and 64 tables |
| title_auth | High frequency financial econometrics recent developments ; with and 64 tables |
| title_exact_search | High frequency financial econometrics recent developments ; with and 64 tables |
| title_exact_search_txtP | High frequency financial econometrics recent developments ; with and 64 tables |
| title_full | High frequency financial econometrics recent developments ; with and 64 tables Luc Bauwens ... (eds.) |
| title_fullStr | High frequency financial econometrics recent developments ; with and 64 tables Luc Bauwens ... (eds.) |
| title_full_unstemmed | High frequency financial econometrics recent developments ; with and 64 tables Luc Bauwens ... (eds.) |
| title_short | High frequency financial econometrics |
| title_sort | high frequency financial econometrics recent developments with and 64 tables |
| title_sub | recent developments ; with and 64 tables |
| topic | Ökonometrisches Modell Econometrics Finance Econometric models Foreign exchange rates Econometric models Finanzmathematik (DE-588)4017195-4 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Ökonometrisches Modell Econometrics Finance Econometric models Foreign exchange rates Econometric models Finanzmathematik Ökonometrie Finanzierung Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015923877&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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