High Frequency Financial Econometrics Recent Developments
This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. T
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Luc Bauwens . Winfried Pohlmeier David Veredas (Eds.)
High Frequency Financial Econometrics Recent Developments
With 57 Figures and 64 Tables
Physica-Verlag A Springer Company
Prof. Winfried Pohlmeier Department of Economics University of Konstanz 78457 Konstanz Germany [email protected]
Prof. Luc Bauwens CORE Voie du Roman Pays 1348 Louvain-la-Neuve Belgium [email protected] Prof. David Veredas ECARES Universite´ Libre des Bruxelles 30, Avenue Roosevelt 1050 Brussels Belgium [email protected]
Parts of the papers have been first published in “
“Empirical Economics, Vol. 30, No. 4, 2006
Library of Congress Control Number: 2007933836
ISBN 978-3-7908-1991-5 Physica-Verlag Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Physica-Verlag. Violations are liable for prosecution under the GermanCopyright Law. Physica-Verlag is a part of SpringerScience+Business Media springer.com © Physica-Verlag Heidelberg 2008 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting by the author and SPi using a Springer LATEX macro package Cover-design: WMX design GmbH, Heidelberg
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Contents
Editor’s introduction: recent developments in high frequency financial econometrics . . . . . . . . . . . . . . . . . . . . . . . . . . . L. Bauwens, W. Pohlmeier and D. Veredas Exchange rate volatility and the mixture of distribution hypothesis . . . . L. Bauwens, D. Rime and G. Sucarrat
1
7
A multivariate integer count hurdle model: theory and application to exchange rate dynamics . . . . . . . . . . . . . . . . . . . K. Bien, I. Nolte and W. Pohlmeier
31
Asymmetries in bid and ask responses to innovations in the trading process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A. Escribano and R. Pascual
49
Liquidity supply and adverse selection in a pure limit order book market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . S. Frey and J. Grammig
83
How large is liquidity risk in an automated auction market? . . . . . . . . . 111 P. Giot 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
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