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Stochastic Volatility Models with Jumps and High Frequency Data
Language: en
Pages: 163

Stochastic Volatility Models with Jumps and High Frequency Data

Authors: Jonas Kau
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Type: BOOK - Published: 2009 - Publisher:

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High-Frequency Financial Econometrics
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High-Frequency Financial Econometrics

Authors: Yacine Aït-Sahalia
Categories: Business & Economics
Type: BOOK - Published: 2014-07-21 - Publisher: Princeton University Press

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A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based
Handbook of High-Frequency Trading and Modeling in Finance
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Handbook of High-Frequency Trading and Modeling in Finance

Authors: Ionut Florescu
Categories: Business & Economics
Type: BOOK - Published: 2016-04-25 - Publisher: John Wiley & Sons

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Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-fre
Handbook of Modeling High-Frequency Data in Finance
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Handbook of Modeling High-Frequency Data in Finance

Authors: Frederi G. Viens
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Type: BOOK - Published: 2011-12-20 - Publisher: John Wiley & Sons

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CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allow
Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods
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Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods

Authors: Milan Fičura
Categories:
Type: BOOK - Published: 2015 - Publisher:

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We are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non-parametric power-variation approach using hi