High-Frequency Financial Econometrics:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton
Princeton University Press
2014
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 5.1.3 Efficiency for Partly Identifiable Parametric Models Cover; Title; Copyright; Dedication; Contents; Preface; Notation; I Preliminary Material; 1 From Diffusions to Semimartingales; 1.1 Diffusions; 1.1.1 The Brownian Motion; 1.1.2 Stochastic Integrals; 1.1.3 A Central Example: Diffusion Processes; 1.2 Lévy Processes; III Volatility; 1.2.1 The Law of a Lévy Process; 1.2.2 Examples; 1.2.3 Poisson Random Measures; 1.2.4 Integrals with Respect to Poisson Random Measures; 1.2.5 Path Properties and Lévy-Itô Decomposition; 1.3 Semimartingales; 1.3.1 Definition and Stochastic Integrals; 1.3.2 Quadratic Variation; 1.3.3 Itô's Formula 1.3.4 Characteristics of a Semimartingale and the Lévy-Itô Decomposition1.4 Itô Semimartingales; 1.4.1 The Definition; 1.4.2 Extension of the Probability Space; 1.4.3 The Grigelionis Form of an Itô Semimartingale; 1.4.4 A Fundamental Example: Stochastic Differential Equations Driven by a Lévy Process; 1.5 Processes with Conditionally Independent Increments; 1.5.1 Processes with Independent Increments; 1.5.2 A Class of Processes with F-Conditionally Independent Increments; 2 Data Considerations; 2.1 Mechanisms for Price Determination; 2.1.1 Limit Order and Other Market Mechanisms 2.1.2 Market Rules and Jumps in Prices2.1.3 Sample Data: Transactions, Quotes and NBBO; 2.2 High-Frequency Data Distinctive Characteristics; 2.2.1 Random Sampling Times; 2.2.2 Market Microstructure Noise and Data Errors; 2.2.3 Non-normality; 2.3 Models for Market Microstructure Noise; 2.3.1 Additive Noise; 2.3.2 Rounding Errors; 2.4 Strategies to Mitigate the Impact of Noise; 2.4.1 Downsampling; 2.4.2 Filtering Transactions Using Quotes; II Asymptotic Concepts; 3 Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process 3.1 Estimating Integrated Volatility in Simple Cases3.1.1 Constant Volatility; 3.1.2 Deterministic Time-Varying Volatility; 3.1.3 Stochastic Volatility Independent of the Driving Brownian Motion W; 3.1.4 From Independence to Dependence for the Stochastic Volatility; 3.2 Stable Convergence in Law; 3.3 Convergence for Stochastic Processes; 3.4 General Stochastic Volatility; 3.5 What If the Process Jumps?; 4 With Jumps: An Introduction to Power Variations; 4.1 Power Variations; 4.1.1 The Purely Discontinuous Case; 4.1.2 The Continuous Case; 4.1.3 The Mixed Case 4.2 Estimation in a Simple Parametric Example: Merton's Model4.2.1 Some Intuition for the Identification or Lack Thereof: The Impact of High Frequency; 4.2.2 Asymptotic Efficiency in the Absence of Jumps .; 4.2.3 Asymptotic Efficiency in the Presence of Jumps .; 4.2.4 GMM Estimation; 4.2.5 GMM Estimation of Volatility with Power Variations; 4.3 References; 5 High-Frequency Observations: Identifiability and Asymptotic Efficiency; 5.1 Classical Parametric Models; 5.1.1 Identifiability; 5.1.2 Efficiency for Fully Identifiable Parametric Models |
| Beschreibung: | 1 Online-Ressource (684 pages) |
| ISBN: | 9780691161433 0691161437 9781400850327 1400850320 |
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| 245 | 1 | 0 | |a High-Frequency Financial Econometrics |c Yacine Aït-Sahalia and Jean Jacod |
| 264 | 1 | |a Princeton |b Princeton University Press |c 2014 | |
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| 500 | |a 5.1.3 Efficiency for Partly Identifiable Parametric Models | ||
| 500 | |a Cover; Title; Copyright; Dedication; Contents; Preface; Notation; I Preliminary Material; 1 From Diffusions to Semimartingales; 1.1 Diffusions; 1.1.1 The Brownian Motion; 1.1.2 Stochastic Integrals; 1.1.3 A Central Example: Diffusion Processes; 1.2 Lévy Processes; III Volatility; 1.2.1 The Law of a Lévy Process; 1.2.2 Examples; 1.2.3 Poisson Random Measures; 1.2.4 Integrals with Respect to Poisson Random Measures; 1.2.5 Path Properties and Lévy-Itô Decomposition; 1.3 Semimartingales; 1.3.1 Definition and Stochastic Integrals; 1.3.2 Quadratic Variation; 1.3.3 Itô's Formula | ||
| 500 | |a 1.3.4 Characteristics of a Semimartingale and the Lévy-Itô Decomposition1.4 Itô Semimartingales; 1.4.1 The Definition; 1.4.2 Extension of the Probability Space; 1.4.3 The Grigelionis Form of an Itô Semimartingale; 1.4.4 A Fundamental Example: Stochastic Differential Equations Driven by a Lévy Process; 1.5 Processes with Conditionally Independent Increments; 1.5.1 Processes with Independent Increments; 1.5.2 A Class of Processes with F-Conditionally Independent Increments; 2 Data Considerations; 2.1 Mechanisms for Price Determination; 2.1.1 Limit Order and Other Market Mechanisms | ||
| 500 | |a 2.1.2 Market Rules and Jumps in Prices2.1.3 Sample Data: Transactions, Quotes and NBBO; 2.2 High-Frequency Data Distinctive Characteristics; 2.2.1 Random Sampling Times; 2.2.2 Market Microstructure Noise and Data Errors; 2.2.3 Non-normality; 2.3 Models for Market Microstructure Noise; 2.3.1 Additive Noise; 2.3.2 Rounding Errors; 2.4 Strategies to Mitigate the Impact of Noise; 2.4.1 Downsampling; 2.4.2 Filtering Transactions Using Quotes; II Asymptotic Concepts; 3 Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process | ||
| 500 | |a 3.1 Estimating Integrated Volatility in Simple Cases3.1.1 Constant Volatility; 3.1.2 Deterministic Time-Varying Volatility; 3.1.3 Stochastic Volatility Independent of the Driving Brownian Motion W; 3.1.4 From Independence to Dependence for the Stochastic Volatility; 3.2 Stable Convergence in Law; 3.3 Convergence for Stochastic Processes; 3.4 General Stochastic Volatility; 3.5 What If the Process Jumps?; 4 With Jumps: An Introduction to Power Variations; 4.1 Power Variations; 4.1.1 The Purely Discontinuous Case; 4.1.2 The Continuous Case; 4.1.3 The Mixed Case | ||
| 500 | |a 4.2 Estimation in a Simple Parametric Example: Merton's Model4.2.1 Some Intuition for the Identification or Lack Thereof: The Impact of High Frequency; 4.2.2 Asymptotic Efficiency in the Absence of Jumps .; 4.2.3 Asymptotic Efficiency in the Presence of Jumps .; 4.2.4 GMM Estimation; 4.2.5 GMM Estimation of Volatility with Power Variations; 4.3 References; 5 High-Frequency Observations: Identifiability and Asymptotic Efficiency; 5.1 Classical Parametric Models; 5.1.1 Identifiability; 5.1.2 Efficiency for Fully Identifiable Parametric Models | ||
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Finance / Econometric models | |
| 650 | 4 | |a Finance / Mathematical models | |
| 650 | 4 | |a Finance | |
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| 650 | 7 | |a BUSINESS & ECONOMICS / Econometrics |2 bisacsh | |
| 650 | 7 | |a Econometrics |2 fast | |
| 650 | 7 | |a Finance / Econometric models |2 fast | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Finance |x Econometric models | |
| 650 | 4 | |a Econometrics | |
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Datensatz im Suchindex
| _version_ | 1804174955965841408 |
|---|---|
| any_adam_object | |
| author | Aït-Sahalia, Yacine Jacod, Jean 1944- |
| author_GND | (DE-588)128764465 (DE-588)140772421 |
| author_facet | Aït-Sahalia, Yacine Jacod, Jean 1944- |
| author_role | aut aut |
| author_sort | Aït-Sahalia, Yacine |
| author_variant | y a s yas j j jj |
| building | Verbundindex |
| bvnumber | BV042742083 |
| collection | ZDB-4-EBA ZDB-4-NLEBK |
| ctrlnum | (OCoLC)880530776 (DE-599)BVBBV042742083 |
| dewey-full | 332.01 332.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01 332.015195 |
| dewey-search | 332.01 332.015195 |
| dewey-sort | 3332.01 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042742083 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:08:37Z |
| institution | BVB |
| isbn | 9780691161433 0691161437 9781400850327 1400850320 |
| language | English |
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| publisher | Princeton University Press |
| record_format | marc |
| spelling | Aït-Sahalia, Yacine Verfasser (DE-588)128764465 aut High-Frequency Financial Econometrics Yacine Aït-Sahalia and Jean Jacod Princeton Princeton University Press 2014 1 Online-Ressource (684 pages) txt rdacontent c rdamedia cr rdacarrier 5.1.3 Efficiency for Partly Identifiable Parametric Models Cover; Title; Copyright; Dedication; Contents; Preface; Notation; I Preliminary Material; 1 From Diffusions to Semimartingales; 1.1 Diffusions; 1.1.1 The Brownian Motion; 1.1.2 Stochastic Integrals; 1.1.3 A Central Example: Diffusion Processes; 1.2 Lévy Processes; III Volatility; 1.2.1 The Law of a Lévy Process; 1.2.2 Examples; 1.2.3 Poisson Random Measures; 1.2.4 Integrals with Respect to Poisson Random Measures; 1.2.5 Path Properties and Lévy-Itô Decomposition; 1.3 Semimartingales; 1.3.1 Definition and Stochastic Integrals; 1.3.2 Quadratic Variation; 1.3.3 Itô's Formula 1.3.4 Characteristics of a Semimartingale and the Lévy-Itô Decomposition1.4 Itô Semimartingales; 1.4.1 The Definition; 1.4.2 Extension of the Probability Space; 1.4.3 The Grigelionis Form of an Itô Semimartingale; 1.4.4 A Fundamental Example: Stochastic Differential Equations Driven by a Lévy Process; 1.5 Processes with Conditionally Independent Increments; 1.5.1 Processes with Independent Increments; 1.5.2 A Class of Processes with F-Conditionally Independent Increments; 2 Data Considerations; 2.1 Mechanisms for Price Determination; 2.1.1 Limit Order and Other Market Mechanisms 2.1.2 Market Rules and Jumps in Prices2.1.3 Sample Data: Transactions, Quotes and NBBO; 2.2 High-Frequency Data Distinctive Characteristics; 2.2.1 Random Sampling Times; 2.2.2 Market Microstructure Noise and Data Errors; 2.2.3 Non-normality; 2.3 Models for Market Microstructure Noise; 2.3.1 Additive Noise; 2.3.2 Rounding Errors; 2.4 Strategies to Mitigate the Impact of Noise; 2.4.1 Downsampling; 2.4.2 Filtering Transactions Using Quotes; II Asymptotic Concepts; 3 Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process 3.1 Estimating Integrated Volatility in Simple Cases3.1.1 Constant Volatility; 3.1.2 Deterministic Time-Varying Volatility; 3.1.3 Stochastic Volatility Independent of the Driving Brownian Motion W; 3.1.4 From Independence to Dependence for the Stochastic Volatility; 3.2 Stable Convergence in Law; 3.3 Convergence for Stochastic Processes; 3.4 General Stochastic Volatility; 3.5 What If the Process Jumps?; 4 With Jumps: An Introduction to Power Variations; 4.1 Power Variations; 4.1.1 The Purely Discontinuous Case; 4.1.2 The Continuous Case; 4.1.3 The Mixed Case 4.2 Estimation in a Simple Parametric Example: Merton's Model4.2.1 Some Intuition for the Identification or Lack Thereof: The Impact of High Frequency; 4.2.2 Asymptotic Efficiency in the Absence of Jumps .; 4.2.3 Asymptotic Efficiency in the Presence of Jumps .; 4.2.4 GMM Estimation; 4.2.5 GMM Estimation of Volatility with Power Variations; 4.3 References; 5 High-Frequency Observations: Identifiability and Asymptotic Efficiency; 5.1 Classical Parametric Models; 5.1.1 Identifiability; 5.1.2 Efficiency for Fully Identifiable Parametric Models Econometrics Finance / Econometric models Finance / Mathematical models Finance BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Econometrics fast Finance / Econometric models fast Mathematisches Modell Wirtschaft Ökonometrisches Modell Finance Econometric models Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 s Ökonometrisches Modell (DE-588)4043212-9 s 1\p DE-604 Ökonometrie (DE-588)4132280-0 s 2\p DE-604 Jacod, Jean 1944- Verfasser (DE-588)140772421 aut http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=692332 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Aït-Sahalia, Yacine Jacod, Jean 1944- High-Frequency Financial Econometrics Econometrics Finance / Econometric models Finance / Mathematical models Finance BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Econometrics fast Finance / Econometric models fast Mathematisches Modell Wirtschaft Ökonometrisches Modell Finance Econometric models Finanzwirtschaft (DE-588)4017214-4 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4017214-4 (DE-588)4043212-9 (DE-588)4132280-0 |
| title | High-Frequency Financial Econometrics |
| title_auth | High-Frequency Financial Econometrics |
| title_exact_search | High-Frequency Financial Econometrics |
| title_full | High-Frequency Financial Econometrics Yacine Aït-Sahalia and Jean Jacod |
| title_fullStr | High-Frequency Financial Econometrics Yacine Aït-Sahalia and Jean Jacod |
| title_full_unstemmed | High-Frequency Financial Econometrics Yacine Aït-Sahalia and Jean Jacod |
| title_short | High-Frequency Financial Econometrics |
| title_sort | high frequency financial econometrics |
| topic | Econometrics Finance / Econometric models Finance / Mathematical models Finance BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Econometrics fast Finance / Econometric models fast Mathematisches Modell Wirtschaft Ökonometrisches Modell Finance Econometric models Finanzwirtschaft (DE-588)4017214-4 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Econometrics Finance / Econometric models Finance / Mathematical models Finance BUSINESS & ECONOMICS / Finance BUSINESS & ECONOMICS / Econometrics Mathematisches Modell Wirtschaft Ökonometrisches Modell Finance Econometric models Finanzwirtschaft Ökonometrie |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=692332 |
| work_keys_str_mv | AT aitsahaliayacine highfrequencyfinancialeconometrics AT jacodjean highfrequencyfinancialeconometrics |