The econometrics of high-frequency financial data

The econometrics of high-frequency financial data
Tutor: 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

Event

The econometrics of high-frequency financial data

29 May 2008 - 30 May 2008

Venue: The Institute for Fiscal Studies