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High Frequency Financial Econometrics

High Frequency Financial Econometrics


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About the Book

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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Product Details
  • ISBN-13: 9783790825404
  • Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Binding: Paperback
  • Height: 234 mm
  • No of Pages: 312
  • Series Title: Studies in Empirical Economics
  • Sub Title: Recent Developments
  • Width: 156 mm
  • ISBN-10: 3790825409
  • Publisher Date: 19 Oct 2010
  • Edition: Softcover reprint of hardcover 1st ed. 2008
  • Language: English
  • Returnable: N
  • Spine Width: 17 mm
  • Weight: 498 gr


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