High-frequency financial econometrics
Aït-Sahalia, Yacine.

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  • High-frequency financial econometrics
  • 紀錄類型: 書目-電子資源 : Monograph/item
    正題名/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.)
    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 --
    內容註: 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.
    標題: Business & Economics -
    電子資源: http://portal.igpublish.com/iglibrary/search/PUPB0002304.html
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