TAILIEUCHUNG - Modeling High-Frequency Data in Finance

Driven by the necessity to incorporate the observed stylized features of asset prices, continuous-time stochastic modeling has taken a predominant role in the financial literature over the past two decades. Most of the proposed models are particular cases of a stochastic volatility component driven by a Wiener process superposed with a pure-jump component accounting for the | Handbook of Modeling High-Frequency Data in Finance Wiley Handbooks in FINANCIAL ENGINEERING AND ECONOMETRICS Advisory Editor Ruey s. Tsay The University of Chicago Booth School of Business USA The dynamic and interaction between financial markets around the world have changed dramatically under economic globalization. In addition advances in communication and data collection have changed the way information is processed and used. In this new era financial instruments have become increasingly sophisticated and their impacts are far-reaching. The recent financial credit crisis is a vivid example of the new challenges we face and continue to face in this information age. Analytical skills and ability to extract useful information from mass data to comprehend the complexity of financial instruments and to assess the financial risk involved become a necessity for economists financial managers and risk management professionals. To master such skills and ability knowledge from computer science economics finance mathematics and statistics is essential. As such financial engineering is cross-disciplinary and its theory and applications advance rapidly. The goal of this Handbook Series is to provide a one-stop source for students researchers and practitioners to learn the knowledge and analytical skills they need to face today s challenges in financial markets. The Series intends to introduce systematically recent developments in different areas of financial engineering and econometrics. The coverage will be broad and thorough with balance in theory and applications. Each volume will be edited by leading researchers and practitioners in the area and covers state-of-the-art methods and theory of the selected topic. Published Wiley Handbooks in Financial Engineering and Econometrics Viens Mariani and Florescu Handbook of Modeling High-Frequency Data in Finance Forthcoming Wiley Handbooks in Financial Engineering and Econometrics Bali and Engle Handbook of Asset Pricing .

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