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High-Frequency Observations: Identifiability and Asymptotic Efficiency

Yacine Aïıt-Sahalia and Jean Jacod

in High-Frequency Financial Econometrics

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691161433
eISBN:
9781400850327
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161433.003.0005
Subject:
Economics and Finance, Econometrics

This chapter starts with a brief reminder about a number of concepts and results which pertain to classical statistical models, without specific reference to stochastic processes. It then introduces ... More


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