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High-Frequency Financial Econometrics /
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| 자료유형 | E-Book |
|---|---|
| 개인저자 | Ai?t-Sahalia, Yacine, author. Jacod, Jean, author. |
| 서명/저자사항 | High-Frequency Financial Econometrics /Yacine Ai?t-Sahalia and Jean Jacod. |
| 발행사항 | Princeton : Princeton University Press, 2014. |
| 형태사항 | 1 online resource (684 pages) |
| 소장본 주기 | eBooks on EBSCOhostAll EBSCO eBooks |
| ISBN | 9780691161433 0691161437 9781400850327 1400850320 9781306805490 130680549X |
| 서지주기 | Includes bibliographical references and index. |
| 내용주기 | From diffusions to semimartingales -- Data considerations -- Introduction to asymptotic theory: volatility estimation for a continuous process -- With jumps: an introduction to power variations -- High-frequency observations: identifiability and asymptotic efficiency -- Estimating integrated volatility: the base case with no noise and equidistant observations -- Volatility and microstructure noise -- Estimating spot volatility -- Volatility and irregularly spaced observations -- Testing for jumps -- Finer analysis of jumps: the degree of jump activity -- Finite or infinite activity for jumps? -- Is Brownian motion really necessary? -- Co-jumps -- A: Asymptotic results for power variations -- B: Miscellaneous proofs. |
| 요약 | "High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Ai?t-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Ai?t-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Ai?t-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike"-- |
| 일반주제명 | Finance -- Econometric models. Econometrics. Econometrics. Finance -- Econometric models. Finance -- Mathematical models. Finance. BUSINESS & ECONOMICS -- Finance. BUSINESS & ECONOMICS -- Econometrics. Econometrics. Finance -- Econometric models. |
| 언어 | 영어 |
| 기타형태 저록 | Print version:Ai?t-Sahalia, Yacine.High-frequency financial econometrics.Princeton : Princeton University Press, [2014]9780691161433 |
| 대출바로가기 | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=692332 |
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