High-Frequency Financial Econometrics
High-Frequency Financial Econometrics:
Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Aït-Sahalia, Yacine (VerfasserIn), Jacod, Jean 1944- (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Princeton Princeton University Press 2014
Schlagworte:
Econometrics
Finance / Econometric models
Finance / Mathematical models
Finance
BUSINESS & ECONOMICS / Finance
BUSINESS & ECONOMICS / Econometrics
Mathematisches Modell
Wirtschaft
Ökonometrisches Modell
Finance > Econometric models
Finanzwirtschaft
Ökonometrie
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

Es ist kein Print-Exemplar vorhanden.

Fernleihe Bestellen Achtung: Nicht im THWS-Bestand! Volltext öffnen

Ähnliche Einträge