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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


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


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


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


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