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High-frequency financial econometrics
~
Aït-Sahalia, Yacine.
High-frequency financial econometrics
Record Type:
Electronic resources : Monograph/item
Title/Author:
High-frequency financial econometricsYacine Aït-Sahalia, Jean Jacod.
Author:
Aït-Sahalia, Yacine.
other author:
Jacod, Jean,
Published:
[Princeton] :Princeton University Press,2014.
Description:
1 online resource (684 p.)
Subject:
Business & Economics
Online resource:
http://portal.igpublish.com/iglibrary/search/PUPB0002304.html
High-frequency financial econometrics
Aït-Sahalia, Yacine.
High-frequency financial econometrics
[electronic resource] /Yacine Aït-Sahalia, Jean Jacod. - 1st ed. - [Princeton] :Princeton University Press,2014. - 1 online resource (684 p.)
Includes bibliographical references and index.
High-frequency financial econometrics -- Dedication -- Contents -- Preface -- Notation -- Part I. Preliminary Material -- Chapter 1. From Diffusions to Semimartingales -- Chapter 2. Data Considerations -- Part II. Asymptotic Concepts -- 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 --
Source: 808580660002304Subjects--Topical Terms:
784217
Business & Economics
LC Class. No.: HG106
Dewey Class. No.: 332.01/5195
High-frequency financial econometrics
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High-frequency financial econometrics -- Dedication -- Contents -- Preface -- Notation -- Part I. Preliminary Material -- Chapter 1. From Diffusions to Semimartingales -- Chapter 2. Data Considerations -- Part II. Asymptotic Concepts -- 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 --
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Part III. Volatility -- 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 -- 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.
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http://portal.igpublish.com/iglibrary/search/PUPB0002304.html
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EB HG106 2014
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