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High-frequency financial econometrics

Aït-Sahalia, Yacine.

High-frequency financial econometrics

Record Type:	Language materials, printed : Monograph/item
Title/Author:	High-frequency financial econometrics/ Yacine 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:

1136481
Business & Economics

LC Class. No.: HG106

Dewey Class. No.: 332.01/5195

High-frequency financial econometrics
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245 1 0 $a High-frequency financial econometrics $h [electronic resource] / $c Yacine Aït-Sahalia, Jean Jacod.
250 $a 1st ed.
260 $a [Princeton] : $b Princeton University Press, $c 2014.
300 $a 1 online resource (684 p.)
504 $a Includes bibliographical references and index.
505 0 $a 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 --
505 8 $a 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.
650 0 $a Business & Economics $3 1136481
650 0 $a Econometrics, Business & Economics $3 1136496
650 0 $a Economics $3 561664
650 0 $a Theory, Business & Economics $3 1136497
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700 1 $a Jacod, Jean, $e author $3 1136495
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