Kapitel in diesem Buch

1. Frontmatter i
2. Contents vii
3. Preface xvii
4. Notation xxiii
5. Part I. Preliminary Material
6. Chapter 1. From Diffusions to Semimartingales 3
7. Chapter 2. Data Considerations 57
8. Part II. Asymptotic Concepts
9. Introduction 81
10. Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process 83
11. Chapter 4. With Jumps: An Introduction to Power Variations 109
12. Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency 131
13. Part III. Volatility
14. Introduction 167
15. Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations 169
16. Chapter 7. Volatility and Microstructure Noise 209
17. Chapter 8. Estimating Spot Volatility 259
18. Chapter 9. Volatility and Irregularly Spaced Observations 299
19. Part IV. Jumps
20. Introduction 327
21. Chapter 10. Testing for Jumps 329
22. Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity 393
23. Chapter 12. Finite or Infinite Activity for Jumps? 429
24. Chapter 13. Is Brownian Motion Really Necessary? 441
25. Chapter 14. Co-jumps 453
26. Appendix A. Asymptotic Results for Power Variations 477
27. Appendix B. Miscellaneous Proofs 507
28. Bibliography 633
29. Index 657