High-Frequency Financial Econometrics / / Jean Jacod, Yacine Aït-Sahalia.
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 driven b...
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| Superior document: | Title is part of eBook package: De Gruyter Princeton University Press Complete eBook-Package 2014-2015 |
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| Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2014] ©2014 |
| Year of Publication: | 2014 |
| Edition: | Course Book |
| Language: | English |
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| Physical Description: | 1 online resource (688 p.) :; 35 line illus. 3 tables. |
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Table of Contents:
- Frontmatter
- Contents
- Preface
- Notation
- Part I. Preliminary Material
- Chapter 1. From Diffusions to Semimartingales
- Chapter 2. Data Considerations
- Part II. Asymptotic Concepts
- Introduction
- Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process
- Chapter 4. With Jumps: An Introduction to Power Variations
- Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency
- Part III. Volatility
- Introduction
- Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations
- Chapter 7. Volatility and Microstructure Noise
- Chapter 8. Estimating Spot Volatility
- Chapter 9. Volatility and Irregularly Spaced Observations
- Part IV. Jumps
- Introduction
- Chapter 10. Testing for Jumps
- Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity
- Chapter 12. Finite or Infinite Activity for Jumps?
- Chapter 13. Is Brownian Motion Really Necessary?
- Chapter 14. Co-jumps
- Appendix A. Asymptotic Results for Power Variations
- Appendix B. Miscellaneous Proofs
- Bibliography
- Index