High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

This book is fundamentally about the estimation of risk. At an intuitive level, risk is easy to understand: given an asset with a current price of say $100, what is the likelihood that at some future time—the risk horizon—its price will be less than $90? Or more than $120? And how does the probability of observing a price below $90 change as a function of the risk horizon? Such heuristic notion...

Financial Econometrics *

This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of financial models requires equally sophisticated methods for their empirical implementation, and in recent ye...

Financial Econometrics

The Econometrics of High Frequency Data

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. S...

Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior