This class will cover recent developments in the analysis of high frequency financial data such as stock, bond, currency and futures data. The methods will include:
- How to estimate volatility in the presence of market microstructure noise
- How to test for the presence of small, infinite activity, jumps
- How to disentangle the volatility and jump components of asset returns
- How to learn about the finer characteristics of asset returns, such as the degree of activity of jumps
- How to assess the consequences of all of this for derivative pricing, hedging, and risk management