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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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From Diffusions to Semimartingales

From Diffusions to Semimartingales

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

Yacine Aïıt-Sahalia

Jean Jacod

Princeton University Press

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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