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. Instructor: Tauchen
Typically Offered
Fall and/or Spring