High frequency financial econometrics: recent developments
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Heidelberg
Physica-Verl.
2010
|
| Series: | Studies in Empirical Economics
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Item Description: | Parts of the papers have been first publ. in "Empirical Economics", Vol. 30, No. 4, 2006 |
| Physical Description: | VI, 312 S. graph. Darst. 235 mm x 155 mm, 480 g |
| ISBN: | 9783790825404 3790825409 |
Staff View
MARC
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Record in the Search Index
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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 multivariate 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 andN. Hautsch
Modelling financial transaction price movements:
a dynamic integer count data model
. 167
R. Liesenfeld,
1.
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
Intraday
stock prices, volume, and duration:
a nonparametric conditional density analysis
. 253
AS.
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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| discipline | Wirtschaftswissenschaften |
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| isbn | 9783790825404 3790825409 |
| language | English |
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| spelling | High frequency financial econometrics recent developments Luc Bauwens ... (eds.) Heidelberg Physica-Verl. 2010 VI, 312 S. graph. Darst. 235 mm x 155 mm, 480 g txt rdacontent n rdamedia nc rdacarrier Studies in Empirical Economics Parts of the papers have been first publ. in "Empirical Economics", Vol. 30, No. 4, 2006 Finanzierung (DE-588)4017182-6 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzmathematik (DE-588)4017195-4 s Ökonometrie (DE-588)4132280-0 s DE-604 Finanzierung (DE-588)4017182-6 s 2\p DE-604 Bauwens, Luc 1952- Sonstige (DE-588)17029837X oth X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3613365&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Augsburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025435704&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 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | High frequency financial econometrics recent developments Finanzierung (DE-588)4017182-6 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4132280-0 (DE-588)4017195-4 (DE-588)4143413-4 |
| title | High frequency financial econometrics recent developments |
| title_auth | High frequency financial econometrics recent developments |
| title_exact_search | High frequency financial econometrics recent developments |
| title_full | High frequency financial econometrics recent developments Luc Bauwens ... (eds.) |
| title_fullStr | High frequency financial econometrics recent developments Luc Bauwens ... (eds.) |
| title_full_unstemmed | High frequency financial econometrics recent developments Luc Bauwens ... (eds.) |
| title_short | High frequency financial econometrics |
| title_sort | high frequency financial econometrics recent developments |
| title_sub | recent developments |
| topic | Finanzierung (DE-588)4017182-6 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finanzierung Ökonometrie Finanzmathematik Aufsatzsammlung |
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