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 Why and How Audited Financial Accounting Statements Are Useful

George J. Benston, Michael Bromwich, Robert E. Litan, and Alfred Wagenhofer

in Worldwide Financial Reporting: The Development and Future of Accounting Standards

Published in print:
2006
Published Online:
February 2006
ISBN:
9780195305838
eISBN:
9780199783342
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0195305833.003.0002
Subject:
Economics and Finance, Financial Economics

Investors, creditors, government officials, and others require information to evaluate companies’ economic position, performance, and prospects. This chapter examines the usefulness of financial ... More


LEADS on Macroeconomic Risks to and from the Household Sector

Parker Jonathan A.

in Risk Topography: Systemic Risk and Macro Modeling

Published in print:
2014
Published Online:
January 2015
ISBN:
9780226077734
eISBN:
9780226092645
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226092645.003.0014
Subject:
Economics and Finance, Financial Economics

This chapter describes a system, called the LEADS system, for providing market participants, regulators, and households with information on the reallocation of resources within, from, and to the ... More


Information Security of Financial Data: Quasi-Secrets: The Nature of Financial Information and Its Implications for Data Security

Cem Paya

in Harboring Data: Information Security, Law, and the Corporation

Published in print:
2009
Published Online:
June 2013
ISBN:
9780804760089
eISBN:
9780804772594
Item type:
chapter
Publisher:
Stanford University Press
DOI:
10.11126/stanford/9780804760089.003.0008
Subject:
Law, Intellectual Property, IT, and Media Law

This chapter presents a technical critique challenging the most basic premises underlying the Gramm–Leach–Bliley Act—that “financial data” refers to data held by financial institutions. Instead, it ... More


High-Frequency Financial Econometrics

Yacine Aït-Sahalia and Jean Jacod

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691161433
eISBN:
9781400850327
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161433.001.0001
Subject:
Economics and Finance, Econometrics

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric ... More


Monitoring with the CART Principles

Mary Kay Gugerty and Dean Karlan

in The Goldilocks Challenge: Right-Fit Evidence for the Social Sector

Published in print:
2018
Published Online:
May 2018
ISBN:
9780199366088
eISBN:
9780199366118
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780199366088.003.0005
Subject:
Economics and Finance, Development, Growth, and Environmental

This chapter focuses on how to use a theory of change and the CART principles to build a monitoring system that generates useful information that can be used for program learning and improvement. ... More


Reading financial data

Peter Richmond, Jürgen Mimkes, and Stefan Hutzler

in Econophysics and Physical Economics

Published in print:
2013
Published Online:
December 2013
ISBN:
9780199674701
eISBN:
9780191780066
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199674701.003.0002
Subject:
Physics, Theoretical, Computational, and Statistical Physics

This chapter describes the characteristics of financial data, and the general way in which it may be analysed. It then briefly describes the two different styles or approaches to investing. Financial ... More


Data Considerations

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/9780691161433.003.0002
Subject:
Economics and Finance, Econometrics

Semimartingales of the type described in the previous chapter are used as modeling tools in a number of applications including the study of Internet packet flow, turbulence and other meteorological ... More


Time Series and Panel Data Econometrics

M. Hashem Pesaran

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.001.0001
Subject:
Economics and Finance, Econometrics

This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides an account of the time series techniques ... More


Volatility and Microstructure Noise

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/9780691161433.003.0007
Subject:
Economics and Finance, Econometrics

This chapter covers the various problems arising in the estimation of the integrated volatility when the observations are contaminated by a noise. The approach used is quite partial, and ... More


Introduction

Frank L. Holt

in The Treasures of Alexander the Great: How One Man's Wealth Shaped the World

Published in print:
2016
Published Online:
April 2016
ISBN:
9780199950966
eISBN:
9780190469702
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199950966.003.0001
Subject:
Classical Studies, European History: BCE to 500CE

This chapter surveys the imprint of Alexander’s treasures upon the popular imagination. It then sets out a methodology for examining the surviving sources concerning Alexander’s wealth. It defines ... More


Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations

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/9780691161433.003.0006
Subject:
Economics and Finance, Econometrics

This chapter covers the various problems arising in the estimation of the integrated volatility, in the idealized situation where the process is observed without error (no microstructure noise) and ... More


Estimating Spot Volatility

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/9780691161433.003.0008
Subject:
Economics and Finance, Econometrics

The estimation of integrated volatility in Chapter 6 has been the first object of interest in financial econometrics, because of its relevance in finance, and also because it is the simplest object ... More


Testing for Jumps

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/9780691161433.003.0010
Subject:
Economics and Finance, Econometrics

This chapter is devoted to the most basic question about jumps: are they present at all? As seen in Chapter 5, this question can be answered unambiguously when the full path of the underlying process ... More


Volatility and Irregularly Spaced Observations

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/9780691161433.003.0009
Subject:
Economics and Finance, Econometrics

Up to now, we only considered regularly spaced observation times. However, it is also essential to develop statistical tools allowing the use of irregularly spaced observations. This chapter studies ... More


Is Brownian Motion Really Necessary?

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/9780691161433.003.0013
Subject:
Economics and Finance, Econometrics

The mathematical treatment of models relying on pure jump processes is quite different from the treatment of models where a Brownian motion is present. For instance, risk management procedures, ... More


Finer Analysis of Jumps: The Degree of Jump Activity

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/9780691161433.003.0011
Subject:
Economics and Finance, Econometrics

The notions of Blumenthal–Getoor (BG) indices BG indices can be extended to Itô (or even, general) semimartingale, and successive BG indices also make sense for semimartingales. This chapter is ... More


With Jumps: An Introduction to Power Variations

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/9780691161433.003.0004
Subject:
Economics and Finance, Econometrics

This chapter studies the simplest possible process having both a non-trivial continuous part and jumps. It starts with the asymptotic behavior of power variations when the model is nonparametric, ... More


From Diffusions to Semimartingales

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/9780691161433.003.0001
Subject:
Economics and Finance, Econometrics

This chapter presents a quick review of the theory of semimartingales, which are processes for which statistical methods are considered in this book. Topics covered include diffusions, Lévy ... More


Finite or Infinite Activity for Jumps?

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/9780691161433.003.0012
Subject:
Economics and Finance, Econometrics

The previous chapter was concerned with the estimation of the degree of activity of the jumps of a process X, that is, of its Blumenthal–Getoor index. If the resulting confidence interval does not ... More


Co-jumps

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/9780691161433.003.0014
Subject:
Economics and Finance, Econometrics

This chapter considers some questions which only make sense in a multivariate setting. It deals with two problems: one is about a multidimensional underlying process X, and we want to decide whether ... More


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