- Title Pages
- Chapter 1 From Diffusions to Semimartingales
- Chapter 2 Data Considerations
- Part II Asymptotic Concepts
- Chapter 3 Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process
- Chapter 4 With Jumps: An Introduction to Power Variations
- Chapter 5 High-Frequency Observations: Identifiability and Asymptotic Efficiency
- Part III Volatility
- Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations
- Chapter 7 Volatility and Microstructure Noise
- Chapter 8 Estimating Spot Volatility
- Chapter 9 Volatility and Irregularly Spaced Observations
- Part IV Jumps
- Chapter 10 Testing for Jumps
- Chapter 11 Finer Analysis of Jumps: The Degree of Jump Activity
- Chapter 12 Finite or Infinite Activity for Jumps?
- Chapter 13 Is Brownian Motion Really Necessary?
- Chapter 14 Co-jumps
- Appendix A Asymptotic Results for Power Variations
- Appendix B Miscellaneous Proofs
- High-Frequency Financial Econometrics
- Princeton University Press
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