High-Frequency Financial Econometrics
"The authors are well established and are at the forefront of this specialised research area. Together they bring a wealth of knowledge to this book. . . . This text is a great resource for PhD-level courses and a great reference for researchers in the area of high-frequency financial econometrics. It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature."---Ole Worapree Maneesoonthorn, Economic Record
High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. Les mer
As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Ait-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Detaljer
- Forlag
- Princeton University Press
- Innbinding
- Innbundet
- Språk
- Engelsk
- Sider
- 688
- ISBN
- 9780691161433
- Utgivelsesår
- 2014
- Format
- 24 x 15 cm
Anmeldelser
"The authors are well established and are at the forefront of this specialised research area. Together they bring a wealth of knowledge to this book. . . . This text is a great resource for PhD-level courses and a great reference for researchers in the area of high-frequency financial econometrics. It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature."---Ole Worapree Maneesoonthorn, Economic Record