The econometrics of high-frequency financial dataTutor: Yacine Ait-Sahalia (Princeton) - 29 - 30 May 2008
Programme
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Lecture notes and slides
Lectures 1 and 2 (based on joint work with Per A. Mykland and Lan Zhang): How to estimate volatility in the presence of market microstructure noise
Lecture 3: Introduction to jump processes
Lecture 4 (based on joint work with Jean Jacod): Disentangling diffusion from jumps
Lecture 5a (based on joint work with Jean Jacod): Testing for jumps in a discretely observed process: high frequency
Lecture 5b: Testing for jumps in a discretely observed process: low frequency
Lecture 6 (based on joint work with Jean Jacod): Estimating the degree of activity of jumps in high frequency financial data
