High Frequency Financial Econometrics

1. Editor's introduction: recent developments in high frequency financial econometrics
Luc Bauwens, Winfried Pohlmeier, David Veredas

2. Exchange rate volatility and the mixture of distribution hypothesis
Luc Bauwens, Dagfinn Rime, Genaro Sucarrat

3. A multivariate integer count hurdle model: theory and application to exchange rate dynamics
Katarzyna Bien, Ingmar Nolte, Winfried Pohlmeier

4. Asymmetries in bid and ask responses to innovations in the trading process
Alvaro Escribano, Roberto Pascual

5. Liquidity supply and adverse selection in a pure limit order book market
Stefan Frey, Joachim Grammig

6. How large is liquidity risk in an automated auction market?
Pierre Giot, Joachim Grammig

7. Order aggressiveness and order book dynamics
Anthony D. Hall, Nikolaus Hautsch

8. Modelling financial transaction price movements: a dynamic integer count data model
Roman Liesenfeld, Ingmar Nolte, Winfried Pohlmeier

9. The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market
Walid Ben Omrane, Hervé Oppens

10. Semiparametric estimation for financial durations
Juan M. Rodríguez-Poo, David Veredas, Antoni Espasa

11. Intraday stock prices, volume, and duration: a nonparametric conditional density analysis
Anthony S. Tay, Christopher Ting

12. Macroeconomic surprises and short-term behaviour in bond futures
David Veredas

13. Dynamic modelling of large-dimensional covariance matrices
Valeri Voev

DRM-restrictions

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Nyckelord: BUSINESS & ECONOMICS / Management Science BUS042000