High-Frequency Financial Econometrics


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It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature. Yacine Ait-Sahalia is the Otto A.


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He is the coeditor of the Handbook of Financial Econometrics. His books include Discretization of Processes. From Diffusions to Semimartingales, pg.

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Data Considerations, pg. Volatility and Microstructure Noise, pg. Estimating Spot Volatility, pg. Volatility and Irregularly Spaced Observations, pg. Testing for Jumps, pg.

ECON 872: Empirical Methods in High Frequency Financial Econometrics

Finite or Infinite Activity for Jumps? Is Brownian Motion Really Necessary? Co-jumps, pg. Asymptotic Results for Power Variations, pg.

Table of contents

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Introduction

Industry Reviews "The authors are well established and are at the forefront of this specialised research area. From Diffusions to Semimartingales, pg. Data Considerations, pg.


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Volatility and Microstructure Noise, pg. Estimating Spot Volatility, pg. Volatility and Irregularly Spaced Observations, pg. Testing for Jumps, pg. Finite or Infinite Activity for Jumps? Is Brownian Motion Really Necessary? Co-jumps, pg. Asymptotic Results for Power Variations, pg.

High Frequency Financial Econometrics: Recent Developments (Studies in Empirical Economics)

Miscellaneous Proofs, pg. More Books in Econometrics See All. The Art of Statistics Learning from Data. In Stock. Browse All Figures Return to Figure. Previous Figure Next Figure. Email or Customer ID. Forgot password?

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Empirical Market Microstructure
High-Frequency Financial Econometrics High-Frequency Financial Econometrics
High-Frequency Financial Econometrics High-Frequency Financial Econometrics
High-Frequency Financial Econometrics High-Frequency Financial Econometrics
High-Frequency Financial Econometrics High-Frequency Financial Econometrics
High-Frequency Financial Econometrics High-Frequency Financial Econometrics
High-Frequency Financial Econometrics High-Frequency Financial Econometrics
High-Frequency Financial Econometrics High-Frequency Financial Econometrics

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