High- Frequency financial econometrics (Record no. 1308440)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01356nam a2200229 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250403153746.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 250403b |||||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780691161433 |
| 037 ## - SOURCE OF ACQUISITION | |
| Terms of availability | Textual |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | RTL |
| Transcribing agency | RTL |
| 084 ## - COLON CLASSIFICATION NUMBER | |
| Classification number | X6:(B) Q4 |
| Assigning agency | RTL |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Aït-Sahalia, Yacine |
| 245 ## - TITLE STATEMENT | |
| Title | High- Frequency financial econometrics |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Princeton and Oxford |
| Name of publisher, distributor, etc. | Princeton university press |
| Date of publication, distribution, etc. | 2014 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xxiv, 659 |
| Other physical details | Includes bibliography and index |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative. In essence, the procedure we propose generalizes Hasbrouck’s (1991) vector autoregressive model for signed trades and changes in the quote midpoint by relaxing the implicit symmetry assumptions in his model. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Econometrics |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Market Microstructure |
| 9 (RLIN) | 751810 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Jacod, Jean |
| Relator term | Co-author |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Colon Classification (CC) |
| Suppress in OPAC | No |
| Koha item type | Textbook |
| Classification part | X6:(B) Q4 |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Colon Classification (CC) | Ratan Tata Library | Ratan Tata Library | 2025-04-03 | X6:(B) Q4 | RT1528424 | 2025-04-03 | 2025-04-03 | Textbook |