High Frequency Financial Econometrics
Recent Developments

Luc Bauwens  Wi nfried Pohlmeier
David Veredas (Eds.)

LibraryofCongressControlNumber:2007933836

Contents
Editor!ˉsintroduction:recentdevelopment
inhighfrequency?nancialeconometrics ...........................1
L.Bauwens,W.PohlmeierandD.Veredas
Exchangeratevolatilityandthemixtureofdistributionhypothesis....7
L.Bauwens,D.RimeandG.Sucarrat
Amultivariateintegercounthurdlemodel:
theoryandapplicationtoexchangeratedynamics...................31
K.Bien,I.NolteandW.Pohlmeier
Asymmetriesinbidandaskresponsestoinnovations
inthetradingprocess ............................................49
A.EscribanoandR.Pascual
Liquiditysupplyandadverseselection
inapurelimitorderbookmarket .................................83
S.FreyandJ.Grammig
Howlargeisliquidityriskinanautomatedauctionmarket? .........111
P.GiotandJ.Grammig
Orderaggressivenessandorderbookdynamics.....................133
A.D.HallandN.Hautsch
Modelling?nancialtransactionpricemovements:
adynamicintegercountdatamodel ...............................167
R.Liesenfeld,I.NolteandW.Pohlmeier
Theperformanceanalysisofchartpatterns:
MonteCarlosimulationandevidence
fromtheeuro/dollarforeignexchangemarket ......................199
W.B.OmraneandH.VanOppens
Semiparametricestimationfor?nancialdurations ..................225
J.M.Rodr¨aguez-Poo,D.VeredasandA.Espas

vi Contents
Intradaystockprices,volume,andduration:
anonparametricconditionaldensityanalysis .......................253
A.S.TayandC.Ting
Macroeconomicsurprisesandshort-termbehaviour
inbondfutures..................................................269
D.Veredas
Dynamicmodellingoflarge-dimensionalcovariancematrices ........293
V.Voev