High Frequency Financial Econometrics

Luc Bauwens . Winfried Pohlmeier David Veredas (Eds.)

High Frequency Financial Econometrics

Recent Developments

With 57 Figures and 64 Tables

Physica-Verlag

A Springer Company

High Frequency Financial Econometrics Recent Developments

Prof. Luc Bauwens CORE Voie du Roman Pays 1348 Louvain-la-Neuve Belgium bauwens@ucl.ac.be Prof. David Veredas ECARES ´ Universite Libre des Bruxelles 30, Avenue Roosevelt 1050 Brussels Belgium dveredas@ulb.ac.be

Prof. Winfried Pohlmeier Department of Economics University of Konstanz 78457 Konstanz Germany winfried.pohlmeier@uni-konstanz.de

Parts of the papers have been first published in

“Empirical Economics, Vol. 30, No. 4, 2006

“

Library of Congress Control Number: 2007933836

ISBN 978-3-7908-1991-5 Physica-Verlag Heidelberg New York

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Contents

Editor’s introduction: recent developments in high frequency...