Econometrics of High
Frequency Data
Please note to take this course you must first have completed Time Series Econometrics and Forecasting
The purpose of this course is to provide students with an introduction to various methods applicable to high-frequency financial data. This includes the study of the statistical properties of these series such as heteroskedasticity, periodicity, the presence of jumps and microstructure noise.
Different methods will be discussed such as GARCH models, the estimation of the intraday periodicity in volatility, jumps tests but also various non-parametric estimators of the class of the realized volatility
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This module can be taken as part of a PG Certificate, PG Diploma or Full Masters Program.
Key Skills
The basic properties of high-frequency financial series.
The main continuous time processes.
The identification of jumps in high-frequency financial series.
The calculation of the daily volatility from intra-day data.
By the end of this course, participants should have knowledge and ability to:
Desired Skills
Understand research papers focusing on intraday financial data.
Estimate realized volatility and bi-power variation. Apply basic statistical techniques to analyse intraday financial data.
Test the presence of discontinuities in intraday prices.
Estimate the intraday periodicity volatility. Understand the concept of Epps effect.
By the end of this course, students should be able to:
Structure
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Econometrics of High Frequency Data is an elective 10 credit course and therefore students are expected to input approximately 100 hours of study into the course.
The total number of contact hours is 15 hours. This leaves 85 hours for private study.
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Lectures
This module consists of 2- hour lectures per day for 5 days, plus a 1 - hour tutorial per day.
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There will be optional clinics on the last day of the course.
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The dates of each lecture are confirmed closer to the start of each term. If you have any questions about dates, please contact edu@timberlake.co.uk.