High-Frequency Financial Econometrics /

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"High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been dr...

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Détails bibliographiques
Auteurs principaux: Aït-Sahalia, Yacine (Auteur), Jacod, Jean (Auteur)
Format: Électronique eBook
Langue:Inglés
Publié: Princeton : Princeton University Press, 2014.
Collection:Book collections on Project MUSE.
Sujets:
Finance > Econometric models.
Econometrics.
BUSINESS & ECONOMICS > Econometrics.
BUSINESS & ECONOMICS > Finance.
Économetrie.
Finances > Modeles econometriques.
Electronic books.
Accès en ligne:Texto completo
Table des matières:
  • From diffusions to semimartingales
  • Data considerations
  • Introduction to asymptotic theory: volatility estimation for a continuous process
  • With jumps: an introduction to power variations
  • High-frequency observations: identifiability and asymptotic efficiency
  • Estimating integrated volatility: the base case with no noise and equidistant observations
  • Volatility and microstructure noise
  • Estimating spot volatility
  • Volatility and irregularly spaced observations
  • Testing for jumps
  • Finer analysis of jumps: the degree of jump activity
  • Finite or infinite activity for jumps?
  • Is Brownian motion really necessary?
  • Co-jumps
  • A: Asymptotic results for power variations
  • B: Miscellaneous proofs.

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