Masterclass

The econometrics of high-frequency financial data

Date & Time

From: 29 May 2008
Until: 30 May 2008

Type

Masterclass

Venue

The Institute for Fiscal Studies
7 Ridgmount Street,
Fitzrovia,
London,
WC1E 7AE

Prices

HE Delegates: £60
Other Delegates: £1250

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