High Frequency Financial Econometrics

Recent Developments

Editors:

ISBN: 978-3-7908-1991-5 (Print) 978-3-7908-1992-2 (Online)

Table of contents (13 chapters)

  1. Front Matter

    Pages i-vi

  2. No Access

    Book Chapter

    Pages 1-5

    Editor's introduction: recent developments in high frequency financial econometrics

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    Book Chapter

    Pages 7-29

    Exchange rate volatility and the mixture of distribution hypothesis

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    Book Chapter

    Pages 31-48

    A multivariate integer count hurdle model: theory and application to exchange rate dynamics

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    Book Chapter

    Pages 49-82

    Asymmetries in bid and ask responses to innovations in the trading process

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    Book Chapter

    Pages 83-109

    Liquidity supply and adverse selection in a pure limit order book market

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    Book Chapter

    Pages 111-131

    How large is liquidity risk in an automated auction market?

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    Book Chapter

    Pages 133-165

    Order aggressiveness and order book dynamics

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    Book Chapter

    Pages 167-197

    Modelling financial transaction price movements: a dynamic integer count data model

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    Book Chapter

    Pages 199-223

    The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market

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    Book Chapter

    Pages 225-251

    Semiparametric estimation for financial durations

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    Book Chapter

    Pages 253-268

    Intraday stock prices, volume, and duration: a nonparametric conditional density analysis

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    Book Chapter

    Pages 269-292

    Macroeconomic surprises and short-term behaviour in bond futures

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    Book Chapter

    Pages 293-312

    Dynamic modelling of large-dimensional covariance matrices