High Frequency Financial Econometrics

High Frequency Financial Econometrics

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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.References Allen H, Taylor MP (1992) The use of technical analysis in the foreign exchange market. ... Channel, Centre for Financial Research, Judge Institute of Management Studies, University of Cambridge, working paper Dempster MAH., anbsp;...


Title:High Frequency Financial Econometrics
Author: Luc Bauwens, Winfried Pohlmeier, David Veredas
Publisher:Springer Science & Business Media - 2007-12-31
ISBN-13:

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