High Frequency Financial Econometrics
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13

(FIVE YEARS 0)

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2

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Published By Physica-Verlag HD

9783790819915, 9783790819922

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Semiparametric estimation for financial durations

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_10 ◽

2008 ◽

pp. 225-251 ◽

Author(s):

Juan M. Rodríguez-Poo ◽

David Veredas ◽

Antoni Espasa

Keyword(s):

Semiparametric Estimation

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

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_11 ◽

2008 ◽

pp. 253-268 ◽

Author(s):

Anthony S. Tay ◽

Christopher Ting

Keyword(s):

Stock Prices ◽

Conditional Density ◽

Density Analysis

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

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_5 ◽

2008 ◽

pp. 83-109 ◽

Author(s):

Stefan Frey ◽

Joachim Grammig

Keyword(s):

Adverse Selection ◽

Limit Order Book ◽

Book Market ◽

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

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_9 ◽

2008 ◽

pp. 199-223

Author(s):

Walid Ben Omrane ◽

Hervé Van Oppens

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Performance Analysis ◽

Foreign Exchange ◽

Foreign Exchange Market ◽

Exchange Market ◽

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How large is liquidity risk in an automated auction market?

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_6 ◽

2008 ◽

pp. 111-131

Author(s):

Pierre Giot ◽

Joachim Grammig

Keyword(s):

Liquidity Risk ◽

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Dynamic modelling of large-dimensional covariance matrices

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_13 ◽

2008 ◽

pp. 293-312 ◽

Author(s):

Valeri Voev

Keyword(s):

Dynamic Modelling ◽

Covariance Matrices

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

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_1 ◽

2008 ◽

pp. 1-5 ◽

Author(s):

Luc Bauwens ◽

Winfried Pohlmeier ◽

David Veredas

Keyword(s):

High Frequency ◽

Financial Econometrics ◽

Recent Developments

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

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_4 ◽

2008 ◽

pp. 49-82 ◽

Author(s):

Alvaro Escribano ◽

Roberto Pascual

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

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_8 ◽

2008 ◽

pp. 167-197 ◽

Author(s):

Roman Liesenfeld ◽

Ingmar Nolte ◽

Winfried Pohlmeier

Keyword(s):

Count Data Model ◽

Financial Transaction ◽

Price Movements ◽

Transaction Price

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Macroeconomic surprises and short-term behaviour in bond futures

High Frequency Financial Econometrics ◽

10.1007/978-3-7908-1992-2_12 ◽

2008 ◽

pp. 269-292

Author(s):

David Veredas

Keyword(s):

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