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...

Frontmatter -- Inhalt / Contents -- Abhandlungen/Original Papers -- Guest Editorial "Econometrics of Anonymized Micro Data" -- Data Masking by Noise Addition and the Estimation of Nonparametric Regression Models / Lechner, Sandra / Pohlmeier, Winfried -- The Effect of Microaggregation Procedures...