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High-frequency financial econometric...

Aït-Sahalia, Yacine.

High-frequency financial econometrics[electronic resource] /

紀錄類型:	書目-電子資源 : Monograph/item
杜威分類號:	332.01/5195
書名/作者:	High-frequency financial econometrics/ Yacine Aït-Sahalia, Jean Jacod.
作者:	Aït-Sahalia, Yacine.
其他作者:	Jacod, Jean,
出版者:	[Princeton] : : Princeton University Press,, 2014.
面頁冊數:	1 online resource (684 p.)
標題:	Business & Economics
標題:	Econometrics, Business & Economics
標題:	Economics
標題:	Theory, Business & Economics
標題:	Finance
標題:	General, KCH, KF, KCA, KFFM2
ISBN:	9781400850327
書目註:	Includes bibliographical references and index.
內容註:	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 --
電子資源:	http://portal.igpublish.com/iglibrary/search/PUPB0002304.html

High-frequency financial econometrics[electronic resource] /
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:

712563
Business & Economics

LC Class. No.: HG106

Dewey Class. No.: 332.01/5195

High-frequency financial econometrics[electronic resource] /
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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.
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