Aït-Sahalia / Jacod High-Frequency Financial Econometrics

Course Book
ISBN: 978-1-4008-5032-7
Verlag: De Gruyter
Format: EPUB
Kopierschutz: 6 - ePub Watermark

E-Book, Englisch, 688 Seiten

Yacine Aït-Sahalia is the Otto A. Hack 1903 Professor of Finance and Economics and director of the Bendheim Center for Finance at Princeton University. He is the coeditor of the Handbook of Financial Econometrics. Jean Jacod is professor at the Institut de Mathématiques de Jussieu in Paris. His books include Discretization of Processes.

Autoren/Hrsg.

Aït-Sahalia, Yacine

Jacod, Jean

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftstheorie, Wirtschaftsphilosophie

Inhaltsverzeichnis

Frontmatter, pg. i
Contents, pg. vii
Preface, pg. xvii
Notation, pg. xxiii
Chapter 1. From Diffusions to Semimartingales, pg. 3
Chapter 2. Data Considerations, pg. 57
Introduction, pg. 81
Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process, pg. 83
Chapter 4. With Jumps: An Introduction to Power Variations, pg. 109
Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency, pg. 131
Introduction, pg. 167
Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations, pg. 169
Chapter 7. Volatility and Microstructure Noise, pg. 209
Chapter 8. Estimating Spot Volatility, pg. 259
Chapter 9. Volatility and Irregularly Spaced Observations, pg. 299
Introduction, pg. 327
Chapter 10. Testing for Jumps, pg. 329
Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity, pg. 393
Chapter 12. Finite or Infinite Activity for Jumps?, pg. 429
Chapter 13. Is Brownian Motion Really Necessary?, pg. 441
Chapter 14. Co-jumps, pg. 453
Appendix A. Asymptotic Results for Power Variations, pg. 477
Appendix B. Miscellaneous Proofs, pg. 507
Bibliography, pg. 633
Index, pg. 657

Über Autor(innen)

Yacine Aït-Sahalia is the Otto A. Hack 1903 Professor of Finance and Economics and director of the Bendheim Center for Finance at Princeton University. He is the coeditor of the Handbook of Financial Econometrics. Jean Jacod is professor at the Institut de Mathématiques de Jussieu in Paris. His books include Discretization of Processes.