Skip Navigation


Journal of Financial Econometrics Advance Access originally published online on August 19, 2005
Journal of Financial Econometrics 2005 3(4):447-455; doi:10.1093/jjfinec/nbi029
This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
3/4/447    most recent
nbi029v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Canopius, A.
Right arrow Search for Related Content
Related Collections
Right arrow C22 - Time-Series Models
Right arrow G10 - General
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© The Author 2005. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oupjournals.org.

Practitioners’ Corner: Introduction to the Special Issue

Adam Canopius
a.canopius@cirano.qc.ca

The first 150 words of the full text of this article appear below.

The material in this volume is the result of a call for papers to the participants of the "Conference on Analysis of High-Frequency Financial Data and Market Microstructure" held in December 2003 in Taipei, Taiwan. Jeffrey Russell and Ruey Tsay have acted as guest editors for this special issue, together with the editors René Garcia and Eric Renault.

The availability of high-frequency data has spawned considerable literature on volatility measurement and forecasting. The material is mathematically delicate and perhaps "Practitioners’ Corner" would be well advised to let the dust settle a bit to see what emerges at the end of the day. On the other hand, the practically minded may well be served by a good road map of the issues. So with only mild apology do we take up the cartography of some difficult terrain.

To fix ideas, let S(t) denote the price process of a . . . [Full Text of this Article]


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?