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1、HighFrequencyFinancialEconometricsRecentDevelopmentsLucBauwens.WinfriedPohlmeierDavidVeredas(Eds.)HighFrequencyFinancialEconometricsRecentDevelopmentsWith57Figuresand64TablesPhysica-VerlagASpringerCompanyProf.LucBauwensProf.WinfriedPohlmeierCOREDepartmentofEconomic
2、sVoieduRomanPaysUniversityofKonstanz1348Louvain-la-Neuve78457KonstanzBelgiumGermanybauwens@ucl.ac.bewinfried.pohlmeier@uni-konstanz.deProf.DavidVeredasECARESUniversitLibredesBruxellese´30,AvenueRoosevelt1050BrusselsBelgiumdveredas@ulb.ac.bePartsofthepapershavebeenf
3、irstpublishedin““EmpiricalEconomics,Vol.30,No.4,2006LibraryofCongressControlNumber:2007933836ISBN978-3-7908-1991-5Physica-VerlagHeidelbergNewYorkThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftr
4、anslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,and
5、permissionforusemustalwaysbeobtainedfromPhysica-Verlag.ViolationsareliableforprosecutionundertheGermanCopyrightLaw.Physica-VerlagisapartofSpringerScience+BusinessMediaspringer.com©Physica-VerlagHeidelberg2008Theuseofgeneraldescriptivenames,registerednames,trademark
6、s,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.TypesettingbytheauthorandSPiusingaSpringerLATEXmacropackageCover-design:WMXdesignGmbH,HeidelbergPr
7、intedonacid-freepaperSPIN:1210775988/SPi543210ContentsEditor’sintroduction:recentdevelopmentsinhighfrequencyfinancialeconometrics...........................1L.Bauwens,W.PohlmeierandD.VeredasExchangeratevolatilityandthemixtureofdistributionhypothesis....7L.Bauwens,D.
8、RimeandG.SucarratAmultivariateintegercounthurdlemodel:theoryandapplicationtoexchangeratedynamics...................31K.Bien,I.NolteandW.Pohlmeier
