ISBN: 9781332259984 - estimating the variance parameter from noisy high frequency financial data (classic reprint) (3 risultati)

PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000.

Paperback. Condizione: New. Print on Demand. This book presents novel statistical methods to analyze financial time series observed at high frequencies. The author notes that while the availability of such data in financial markets is increasing, traditional statistical approaches often fail to capture the specific characteristics of high-frequency data, leading to biased or inefficient parameter estimation. The author derives new estimators that are consistent in the context of high-frequency data and investigates their finite-sample performance through simulations. The book provides a valuable contribution to the field of financial econometrics, offering practitioners and researchers alike with practical tools and insights for analyzing high-frequency financial data. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item.…