Item description for High Frequency Financial Econometrics: Recent Developments (Studies in Empirical Economics) by Luc Bauwens, Winfried Pohlmeirer & David Veredas...
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. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. Shedding light on some of the most relevant open questions in the analysis of high frequency data, this volume will be of interest to graduate students, researchers and industry professionals.
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Est. Packaging Dimensions: Length: 0.5" Width: 6.25" Height: 9.25" Weight: 1.3 lbs.
Release Date Nov 20, 2007
Publisher Physica-Verlag Heidelberg
ISBN 3790819913 ISBN13 9783790819915
Availability 142 units. Availability accurate as of Jan 20, 2017 01:16.
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More About Luc Bauwens, Winfried Pohlmeirer & David Veredas
Luc Bauwens is Professor of Economics at the Universit?? catholique de Louvain, Belgium where he chairs the Department of Economics, and has been co-director of the Center for Operations Research and Econometrics (CORE) from 1992 to 1998. He has published several books and papers in the fields of Bayesian inference, time series methods, simulation and numerical methods in econometrics, as well as empirical finance and international trade. Pierre Giot is Professor of Econometrics and Quantitative Finance at Maastricht University in The Netherlands, and he is a member of CORE in Belgium. After graduating as a Civil Engineer (Polytechnique) in Electronics, he got his Ph.D. in Economics at the Universit?? catholique de Louvain in 1999. His current research interests focus on quantitative finance, models for intraday data and empirical market microstructure.
Luc Bauwens was born in 1952 and has an academic affiliation as follows - Universit?? Catholique de Louvain Universite Catholique de Louvain Uni.