Econometrics of High Frequency Data: Background and New Developments

Résumé

Recent years have seen an explosion of the literature in the area of estimating parameters (such as volatility) on the basis of high frequency data, typically from financial markets. We give some background for this kind of inference, and then discuss challenges and recent innovations in the area. The talk is particularly focused on issues involving endogenous times, microstructure, and local parametric methods.