This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal...

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...