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Practitioners’ Corner: Introduction to the Special Issue

Practitioners’ Corner: Introduction to the Special Issue Journal of Financial Econometrics, 2005, Vol. 3, No. 4, 447–455 Practitioners’ Corner: Introduction to the Special Issue 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 Rene Garcia and Eric Renault. The availability of high-frequency data has spawned considerable literature on volatility measurement and forecasting. The material is mathematically deli- cate 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 security and suppose that S(t ), i ¼ 0, 1, . . ., n are all the observations of the price process in the time interval [0,T]. Assume for the moment that observations are http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Financial Econometrics Oxford University Press

Practitioners’ Corner: Introduction to the Special Issue

Canopius, Adam
Journal of Financial Econometrics , Volume 3 (4) – Aug 19, 2005
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Publisher
Oxford University Press
Copyright
© The Author 2005. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oupjournals.org.
ISSN
1479-8409
eISSN
1479-8417
DOI
10.1093/jjfinec/nbi029
Publisher site
See Article on Publisher Site

Abstract

Journal of Financial Econometrics, 2005, Vol. 3, No. 4, 447–455 Practitioners’ Corner: Introduction to the Special Issue 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 Rene Garcia and Eric Renault. The availability of high-frequency data has spawned considerable literature on volatility measurement and forecasting. The material is mathematically deli- cate 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 security and suppose that S(t ), i ¼ 0, 1, . . ., n are all the observations of the price process in the time interval [0,T]. Assume for the moment that observations are

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Journal of Financial Econometrics – Oxford University Press

Published: Aug 19, 2005

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