| Abstract: | 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 papersto the participants of the "Conference on Analysis of High-FrequencyFinancial Data and Market Microstructure" held in December 2003in Taipei, Taiwan. Jeffrey Russell and Ruey Tsay have actedas guest editors for this special issue, together with the editorsRené Garcia and Eric Renault. The availability of high-frequency data has spawned considerableliterature on volatility measurement and forecasting. The materialis mathematically delicate and perhaps "Practitioners’Corner" would be well advised to let the dust settle a bit tosee what emerges at the end of the day. On the other hand, thepractically minded may well be served by a good road map ofthe issues. So with only mild apology do we take up the cartographyof some difficult terrain. To fix ideas, let S(t) denote the price process of a . . . Full Text of this Article] |
