12. High-Frequency Data and Models

Kapitel in diesem Buch

1. Frontmatter i
2. Contents vii
3. Preface xiii
4. 1. Introduction 1
5. Part I. Foundations
6. 2. Prices and Returns 9
7. 3. Stochastic Processes: Definitions and Examples 23
8. 4. Stylized Facts for Financial Returns 51
9. Part II. Conditional Expected Returns
10. 5. The Variance-Ratio Test of the RandomWalk Hypothesis 99
11. 6. Further Tests of the RandomWalk Hypothesis 121
12. 7. Trading Rules and Market Efficiency 157
13. Part III. Volatility Processes
14. 8. An Introduction to Volatility 189
15. 9. ARCH Models: Definitions and Examples 197
16. 10. ARCH Models: Selection and Likelihood Methods 235
17. 11. Stochastic Volatility Models 267
18. Part IV. High-Frequency Methods
19. 12. High-Frequency Data and Models 305
20. Part V. Inferences from Option Prices
21. 13. Continuous-Time Stochastic Processes 353
22. 14. Option Pricing Formulae 369
23. 15. Forecasting Volatility 397
24. 16. Density Prediction for Asset Prices 423
25. Symbols 467
26. References 473
27. Author Index 503
28. Subject Index 513