High-Frequency Financial Econometrics (eBook)

Yacine Aït-Sahalia, Jean Jacod (Autoren)

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2014 | 1. Auflage
688 Seiten
Princeton University Press (Verlag)
978-1-4008-5032-7 (ISBN)

Infos

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.

Produkt-Details

• Erscheint lt. Verlag: 21.7.2014
• Zusatzinfo: 35 line illus. 3 tables.
• Verlagsort: Princeton
• Sprache: englisch
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: absolute value • Accuracy and precision • Addition • algorithm • Almost surely • Approximation • Asymptote • asymptotic analysis • Asymptotic Distribution • Bias of an estimator • Big O notation • BlumenthalЇetoor indices • bounded function • Brownian motion • Calculation • central limit theorem • certain moment functions • Change of variables • coefficient • co-jumps • common jumps • Compound Poisson process • Computation • computerized trading • Conditional variance • Confidence interval • Consistent estimator • continuous function • Convergence of random variables • Convolution Theorem • Degeneracy (mathematics) • Delta method • Derivative • Diffusion • diffusion process • Dimension • Discrete time and continuous time • discretization • disjoint jumps • Efficient estimator • Equation • estimation • Estimation theory • Estimator • existential quantification • expected value • Financial Data • finite activity • Fisher efficiency • Fisher Information • Gaussian process • High Frequency • High-Frequency Econometrics • High-Frequency Financial Data • High-Frequency Trading • histogram • identifiability • Independent and identically distributed random variables • Indicator function • inference • Infimum and supremum • infinite activity • Integer • Integrated Volatility • integrated volatility estimation • irregular observation times • It semimartingale • It semimartingales • jump process • Jumps • law of large numbers • Lebesgue measure • Likelihood Function • Limit (mathematics) • Lipschitz continuity • local volatility • Lvy processes • Market microstructure • market microstructure noise • Markov Chain • Martingale (probability theory) • Mathematical Optimization • maximum likelihood estimation • microstructure • Microstructure Noise • Nonnegative Matrix • Nonparametric Statistics • Normal distribution • null hypothesis • one-dimensional continuous martingale • Order of magnitude • Parameter • parameter identifiability • parametric model • partial derivative • Poisson Point Process • Poisson random measure • Polish space • power variations • Price Determination • Probability • probability measure • Probability space • Proportionality (mathematics) • quadratic variation • Quantile • Quantity • randomness • Random Variable • Rate of Convergence • Requirement • Risk Management • Sample space • scientific notation • semimartingale • semimartingales • Special case • spot volatility • stable convergence • Stable Process • standard deviation • Statistic • Statistical hypothesis testing • Stochastic Calculus • Stochastic process • Stochastic Processes • Stochastic volatility • Subset • Summation • test statistic • Theorem • Time Series • two-dimensional space • Variable (mathematics) • Variance • Volatility • volatility estimation
• ISBN-10: 1-4008-5032-0 / 1400850320
• ISBN-13: 978-1-4008-5032-7 / 9781400850327