An Introduction to High-Frequency Finance
Ramazan Gencay (Simon Fraser University, Burnaby, British Columbia, Canada),Michel Dacorogna (Zurich Re, Switzerland),Ulrich A. Muller (Olsen& Associates, Switzerland),Olivier Pictet (Olse & Associates, Zurich, Switzerland),Richard Olsen (Olsen & Associates, Zurich, Switzerland)
An Introduction to High-Frequency Finance
Ramazan Gencay (Simon Fraser University, Burnaby, British Columbia, Canada),Michel Dacorogna (Zurich Re, Switzerland),Ulrich A. Muller (Olsen& Associates, Switzerland),Olivier Pictet (Olse & Associates, Zurich, Switzerland),Richard Olsen (Olsen & Associates, Zurich, Switzerland)
Introduction. Markets and Data. Time Series of Interest. Adaptive Data Cleaning. Basic Styli zed Facts. Modeling Seasonal Volatility. Reali zed Volatility Dynamics. Volatility Processes. Forecasting Risk and Return. Correlation and Multivariate Risk. Trading Models. Toward a Theory of Heter ogeneous Markets. Bibliography. Index.
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