High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

by Yacine Aït-Sahalia, Jean Jacod

Hardcover

$57.50
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Product Details

ISBN-13: 9780691161433
Publisher: Princeton University Press
Publication date: 07/21/2014
Pages: 688
Product dimensions: 6.50(w) x 9.30(h) x 1.70(d)

About the Author


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.

Table of Contents

  • 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

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