Modelling and Forecasting High Frequency Financial Data

Chapter 1: Introduction to High Frequency Financial Modelling.- Chapter 2: Intra-day Realized Volatility Measures.- Chapter 3: Methods of Volatility Estimation and Forecasting.- Chapter 4: Multiple Model Comparison and Hypothesis Framework Construction.- Chapter 5: Realized Volatility Forecasting - Applications.- Chapter 6: Recent Methods: A Review.- Chapter 7: Intraday Hedge Ratios & Option Pricing.

Dr. Christos Floros (Crete, Greece) is Professor of Finance at the Technological Educational Institute of Crete and Hellenic Open University (Greece). His main research interests include behavioural finance, financial derivatives (futures and options markets), financial econometrics (forecasting realized volatility, VaR modelling) and empirical banking (efficiency, competition and profitability). He has published extensively in academic journals and is the Editor-in-Chief of the International Journal of Financial Markets and Derivatives (IJFMD) and Editor of the International Journal of Computational Economics and Econometrics (IJCEE). He has been involved in a number of research funded projects including a Marie Curie project on 'Volatility forecasting evaluation based on loss function with well-defined multivariate distributional form and ultra-high frequency datasets (as co-ordinator). Christos has presented several papers at international academic conferences in the UK, Greece, Portugal, Italy, France, Ireland, and Spain, and is a Fellow of the Higher Education Academy (UK).

Dr. Stavros Degiannakis is Assistant Professor in the Department of Economic and Regional Development of Panteion University of Social and Political Sciences. He has taught at various Universities including the Athens University of Economics and Business and the Hellenic Open University, Greece, in subjects such as statistics, econometrics, time series, data analysis and quantitative techniques. He has also served as econometrician for companies in the private and public sector (the Bank of Greece, the University of Portsmouth, the Economic Chamber of Greece, Inventive, the Hellenic Parliament, and Profile). He has served as a referee in more than 30 international journals, such as the Journal of Applied Econometrics, the Journal of Banking and Finance, and the Journal of Applied Statistics. His research interests are in the areas of applied and theoretical financial econometrics