The Econometrics of High Frequency Data
نویسنده
چکیده
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, doing analyses of variance, detecting jumps, measuring liquidity by measuring the size of the microstructure noise, and many other objects of interest.
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تاریخ انتشار 2010