Contents

Editor’s introduction: recent developments
in high frequency financial econometrics . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Exchange rate volatility and the mixture of distribution hypothesis. . . . 7

A multivariate integer count hurdle model:
theory and application to exchange rate dynamics . . . . . . . . . . . . . . . . . . . 31

Asymmetries in bid and ask responses to innovations
in the trading process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

Liquidity supply and adverse selection
in a pure limit order book market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83

How large is liquidity risk in an automated auction market? . . . . . . . . . 111

Order aggressiveness and order book dynamics . . . . . . . . . . . . . . . . . . . . . 133

Modelling financial transaction price movements:
a dynamic integer count data model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167

The performance analysis of chart patterns:
Monte Carlo simulation and evidence
from the euro/dollar foreign exchange market . . . . . . . . . . . . . . . . . . . . . . 199

Semiparametric estimation for financial durations . . . . . . . . . . . . . . . . . . 225


Intraday stock prices, volume, and duration:
a nonparametric conditional density analysis . . . . . . . . . . . . . . . . . . . . . . . 253

Macroeconomic surprises and short-term behaviour
in bond futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269

Dynamic modelling of large-dimensional covariance matrices . . . . . . . . 293