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High Frequency Financial Econometrics
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High Frequency Financial Econometrics : Recent Developments

2008 ed.

Book Details

Format Hardback or Cased Book
Book Series Studies in Empirical Economics
ISBN-10 3790819913
ISBN-13 9783790819915
Edition 2008 ed.
Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint Physica-Verlag GmbH & Co
Country of Manufacture DE
Country of Publication GB
Publication Date Oct 26th, 2007
Print length 312 Pages
Weight 606 grams
Dimensions 15.90 x 24.20 x 2.30 cms
Product Classification: EconometricsEconometrics and economic statistics
Ksh 16,200.00
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In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative.

Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

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