发帖
雷达卡
Editor’s introduction: recent developments
in high frequency financial econometrics . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Exchange rate volatility and the mixture of distribution hypothesis. . . . 7
A multivariate integer count hurdle model:
theory and application to exchange rate dynamics . . . . . . . . . . . . . . . . . . . 31
Asymmetries in bid and ask responses to innovations
in the trading process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
Liquidity supply and adverse selection
in a pure limit order book market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
How large is liquidity risk in an automated auction market? . . . . . . . . . 111
Order aggressiveness and order book dynamics . . . . . . . . . . . . . . . . . . . . . 133
Modelling financial transaction price movements:
a dynamic integer count data model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
The performance analysis of chart patterns:
Monte Carlo simulation and evidence
from the euro/dollar foreign exchange market . . . . . . . . . . . . . . . . . . . . . . 199
Semiparametric estimation for financial durations . . . . . . . . . . . . . . . . . . 225
Intraday stock prices, volume, and duration:
a nonparametric conditional density analysis . . . . . . . . . . . . . . . . . . . . . . . 253
Macroeconomic surprises and short-term behaviour
in bond futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269
Dynamic modelling of large-dimensional covariance matrices . . . . . . . . 293
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