high frequency data

Description We will review the econometrics of non-parametric estimation of the components of the variation of asset prices. Variation, jumps, market frictions and high frequency data in ?nancial econometrics ? Ole E. Barndorff-Nielsen The T.N. Thiele Centre for Mathematics in Natural Science...

Description Recent years have seen an explosion in the amount of financial high frequency data. These are the records of transactions and quotes for stocks, bonds, currencies, options, and other financial instruments. The Econometrics of High Frequency Data ? Per A. Mykland and Lan Zhang This...