High-frequency financial econometrics /
xxiv, 659 p. : illustrations ; 24 cm. Content notes : 1. From diffusions to semimartingales --
2. Data considerations --
3. Introduction to asymptotic theory: volatility estimation for a continuous process --
4. With jumps: an introduction to power variations --
5. High-frequency observations: identifiability and asymptotic efficiency --
6. Estimating integrated volatility: the base case with no noise and equidistant observations --
7. Volatility and microstructure noise --
8. Estimating spot volatility --
9. Volatility and irregularly spaced observations --
10. Testing for jumps --
11. Finer analysis of jumps: the degree of jump activity --
12. Finite or infinite activity for jumps? --
13. Is Brownian motion really necessary? --
14. Co-jumps --
A: Asymptotic results for power variations --
B: Miscellaneous proofs--
Bibliography--
Index. Econometrics.
