High Frequency Financial Econometrics Recent Developments

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Luc Bauwens . Wi nfried Pohlmeier
Contents
Editor’s introduction: recent developments
in high frequency financial econometrics . . . . . . . . . . . . . . . . . . . . . . . . . . .      1
L. Bauwens, W. Pohlmeier and D. Veredas
Exchange rate volatility and the mixture of distribution hypothesis. . . .      7
L. Bauwens, D. Rime and G. Sucarrat
A multivariate integer count hurdle model:
theory and application to exchange rate dynamics . . . . . . . . . . . . . . . . . . .     31
K. Bien, I. Nolte and W. Pohlmeier
Asymmetries in bid and ask responses to innovations
in the trading process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .     49
A. Escribano and R. Pascual
Liquidity supply and adverse selection
in a pure limit order book market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .     83
S. Frey and J. Grammig
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
R. Liesenfeld, I. Nolte and W. Pohlmeier
The performance analysis of chart patterns:
Monte Carlo simulation and evidence
from the euro/dollar foreign exchange market . . . . . . . . . . . . . . . . . . . . . .   199
W.B. Omrane and H. Van Oppens
Semiparametric estimation for financial durations . . . . . . . . . . . . . . . . . .   225
J.M. Rodríguez-Poo, D. Veredas and A. Espasa
Intraday stock prices, volume, and duration:
a nonparametric conditional density analysis . . . . . . . . . . . . . . . . . . . . . . .   253
A.S. Tay and C. Ting
Macroeconomic surprises and short-term behaviour
in bond futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .   269
D. Veredas
Dynamic modelling of large-dimensional covariance matrices  . . . . . . . .   293
V. Voev

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关键词：Developments econometrics Econometric Development Frequency hypothesis frequency exchange recent count

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