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URL :  The Econometrics of High Frequency Data
Author : P. A. Mykland - L. Zhang
Detail : eBook Edition: 2009

There has in recent years been a vast increase in the amount of high frequency data available. There has also been an explosion in the literature on the subject. In this course, we start from scratch, introducing the probabilistic model for such data, and then turn to the estimation question in this model. We shall be focused on the (for this area) emblematic problem of estimating volatility. Similar techniques to those we present can be applied to estimating leverage effects, realized regressions, semivariances, do analyses of variance, detect jumps, measure liquidity by measuring the size of the microstructure noise, and many other objects of interest. (From author)

eBook Contents

Introduction - A More General Model: Time varying Drift and Volatility - Behavior of Estimators: Variance - Asymptotic Normality – Microstructure - Methods based on Contiguity - Irregularly spaced data – References

eBook License: Copyrighted (Personal Use Only) 

Free PDF eBook - 455 kb - 73 pages
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