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High-Frequency Financial Econometrics$
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Yacine Aït-Sahalia and Jean Jacod

Print publication date: 2014

Print ISBN-13: 9780691161433

Published to Princeton Scholarship Online: October 2017

DOI: 10.23943/princeton/9780691161433.001.0001

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PRINTED FROM PRINCETON SCHOLARSHIP ONLINE (www.princeton.universitypressscholarship.com). (c) Copyright Princeton University Press, 2020. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in PRSO for personal use.date: 19 February 2020

From Diffusions to Semimartingales

From Diffusions to Semimartingales

Chapter:
(p.3) Chapter 1 From Diffusions to Semimartingales
Source:
High-Frequency Financial Econometrics
Author(s):

Yacine Aïıt-Sahalia

Jean Jacod

Publisher:
Princeton University Press
DOI:10.23943/princeton/9780691161433.003.0001

This chapter presents a quick review of the theory of semimartingales, which are processes for which statistical methods are considered in this book. Topics covered include diffusions, Lévy processes, Itô semimartingales, and processes with conditionally independent increments.

Keywords:   diffusion, Lévy processes, Itô semimartingales, high-frequency trading, financial data, stochastic processes

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