high frequency data volatility de zhou (4 resultados)

Paperback. Condición: New. Print on Demand. This book explores the behavior of foreign exchange rates, an area of finance that has seen considerable study but limited success in structural modeling. The author uses high-frequency data, such as tick-by-tick exchange rates, to analyze the volatility of these rates. Tick-by-tick data reveals a high negative first-order autocorrelation in returns, which the author attributes to noise in the data. The author provides a model to explain this autocorrelation and proposes volatility estimators using the high-frequency data. The book concludes with an examination of daily and hourly volatility estimates for the DM/$ exchange rates, highlighting the insights gained from using high-frequency data. The book contributes to the understanding of volatility in financial time series, which is key in studying conditional heteroscedasticity models and is significant for researchers, practitioners, and students in finance. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item.

Gebunden. Condición: New.

Buch. Condición: Neu. Neuware - This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Condición: New. Print on Demand pp. 36.