ECON 672

Empirical Methods in High Frequency Financial Econometrics

Duke University · UGRD · Fall 2026

1 section
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Focus is on understanding and applying principal results with emphasis on substantive applications. Topics generally include jump diffusions, semi-martingales, jump-robust volatility estimation, realized beta, jump regressions, local volatility estimation, diffusive beta, and measurement error (noise).

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Class #duke-ECON672Fall 2026UGRD3 credits
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