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- catalog abstract "The editor has brought together some of the acknowledged experts in the field to contribute on a subject of great timeliness across the finance sector. One could go as far as to say we are experiencing a renaissance in terms of how market players work on a day-to-day basis due to the high intra-day volatility of financial markets and the greater emphasis put on risk management. This book will provide essential reading matter for all those using high frequency data, in both the practitioner and academic markets alike.".
- catalog contributor b11142919.
- catalog created "c1999.".
- catalog date "1999".
- catalog date "c1999.".
- catalog dateCopyrighted "c1999.".
- catalog description "Includes bibliographical references and index.".
- catalog description "The editor has brought together some of the acknowledged experts in the field to contribute on a subject of great timeliness across the finance sector. One could go as far as to say we are experiencing a renaissance in terms of how market players work on a day-to-day basis due to the high intra-day volatility of financial markets and the greater emphasis put on risk management. This book will provide essential reading matter for all those using high frequency data, in both the practitioner and academic markets alike.".
- catalog description "pt. I. High Frequency Financial Series, Volatility and Risk. 1. Efficient Estimation of Intra-day Volatility: A Method-of-Moments Approach Incorporating the Trading Range / Richard B. Spurgin and Thomas Schneeweis. 2. Modelling Intra-day Equity Prices and Volatility Using Information Arrivals -- A Comparative Study of Different Choices of Informational Proxies / Shinn-Juh Lin, John Knight and Stephen Ellwood Satchell. 3. The Incremental Volatility Information in One Million Foreign Exchange Quotations / Stephen J. Taylor and Xinzhong Xu. 4. Correlation of High-Frequency Financial Time Series / Mark Lundin, Michel M. Dacorogna and Ulrich A. Muller. 5. Highs and Lows: Times of the Day in the Currency CME Market / Emmanuel Acar and Robert Toffel.".
- catalog extent "xxv, 400 p. :".
- catalog identifier "0471981605 (cloth : alk. paper)".
- catalog isPartOf "Wiley trading advantage series".
- catalog isPartOf "Wiley trading advantage.".
- catalog issued "1999".
- catalog issued "c1999.".
- catalog language "eng".
- catalog publisher "Chichester, West Sussex, England ; New York : Wiley,".
- catalog subject "332 21".
- catalog subject "Capital market Mathematics.".
- catalog subject "HG226 .F56 1999".
- catalog subject "Money market Mathematics.".
- catalog tableOfContents "pt. I. High Frequency Financial Series, Volatility and Risk. 1. Efficient Estimation of Intra-day Volatility: A Method-of-Moments Approach Incorporating the Trading Range / Richard B. Spurgin and Thomas Schneeweis. 2. Modelling Intra-day Equity Prices and Volatility Using Information Arrivals -- A Comparative Study of Different Choices of Informational Proxies / Shinn-Juh Lin, John Knight and Stephen Ellwood Satchell. 3. The Incremental Volatility Information in One Million Foreign Exchange Quotations / Stephen J. Taylor and Xinzhong Xu. 4. Correlation of High-Frequency Financial Time Series / Mark Lundin, Michel M. Dacorogna and Ulrich A. Muller. 5. Highs and Lows: Times of the Day in the Currency CME Market / Emmanuel Acar and Robert Toffel.".
- catalog title "Financial markets tick by tick : insights in financial markets microstructure / edited by Pierre Lequeux.".
- catalog type "text".