Instructors
Per Mykland and Lan Zhang.
About
The course is an introduction to the statistical analysis of high frequency (and sometimes high dimensional) financial data. Financial prices are often modeled as semi-martingales. We show how to use high frequency data to estimate volatility and quantities such as regression coefficients and leverage effect (skewness).
A selected reading list for the course includes part of the following sources:
It will not be possible to cover all this material fully, but we will select important highlights.
With