Empirical Methods in High Frequency Financial Econometrics

ECON 872

Focus is on understanding and applying principal results with emphasis on substantive applications. Topics generally include jump diffusions, semi-martingales, jump-robust volatility estimation, realized beta, jump regressions, local volatility estimation, diffusive beta, and measurement error (noise). Paired with Economics 672. PhD students will be required to do additional work.
Typically Offered
Fall and/or Spring