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High frequency financial econometrics. Recent developments
Veredas, David; Pohlmeier, Winfried; Bauwens, Luc - Solvay Brussels School of Economics and Management, … - 2007
Persistent link: https://www.econbiz.de/10010600868
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The stochastic conditional duration model: a latent factor model for the analysis of financial durations
Veredas, David; Bauwens, Luc - Solvay Brussels School of Economics and Management, … - 2004
Persistent link: https://www.econbiz.de/10011011416
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A comparison of financial duration models via density forecast
Veredas, David; Bauwens, Luc; Giot, Pierre; Grammig, Joachim - Solvay Brussels School of Economics and Management, … - 2004
Persistent link: https://www.econbiz.de/10010600873
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Editor's introduction
Bauwens, Luc; Pohlmeier, Winfried; Veredas, David - 2006
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Persistent link: https://www.econbiz.de/10009471842
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High frequency financial econometrics : recent developments
Pohlmeier, Winfried; Bauwens, Luc; Veredas, David - 2008
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...
Persistent link: https://www.econbiz.de/10009471866
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Editor’s introduction
Bauwens, Luc; Pohlmeier, Winfried; Veredas, David - In: Empirical Economics 30 (2006) 4, pp. 791-794
Persistent link: https://www.econbiz.de/10005758453
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High frequency financial econometrics : recent developments ; with 64 tables
Bauwens, Luc (ed.); Pohlmeier, Winfried (contributor);  … - 2008 - 1. ed.
Persistent link: https://www.econbiz.de/10003498251
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Editor#8217s introduction
Bauwens, Luc; Pohlmeier, Winfried; Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 791-794
Persistent link: https://www.econbiz.de/10006231905
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High Frequency Financial Econometrics : Recent Developments
Bauwens, Luc (contributor); Pohlmeier, Winfried (contributor) - 2008
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...
Persistent link: https://www.econbiz.de/10013520878
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Semiparametric estimation for financial durations
Rodríguez Poo, Juan Manuel; Veredas, David; Pohlmeier, … - In: High frequency financial econometrics : recent …, (pp. 225-251). 2008
Persistent link: https://www.econbiz.de/10003579359