联系我们 学校主站
首页» 学术动态» 学术讲座

学术讲座

ISEM学术论坛[109]A Combination of Truncation Technique and Noise-Robust Integrated Volatility Estimator

题目:A Combination of Truncation Technique and Noise-Robust Integrated Volatility Estimator
报告人: 孙宇澄 (Assistant Professor ,  ISEM, CUEB)
报告时间:2017年11月8日(周四) 13:30
地点:国际经管学院会议室(诚明楼三层)
主办方:国际经济管理学院

摘要:This paper introduces novel estimators of the integrated volatility of asset prices based on high frequency data that are consistent in the presence of price jumps and market microstructure noise. We begin by introducing a jump signaling indicator based on a local average of intra-daily returns that allows to detect jumps when the price is contaminated by noise. We then apply this technique to the two-scales realized volatility and flat-top realized kernel estimators to introduce the truncated estimators. We establish convergence rate and CLT of the truncated estimators in the presence of finite activity jumps and noise. A simulation study shows that the truncated estimators perform satisfactorily in finite samples and that they out--perform a number of alternative estimators recently proposed in the literature.

 

报告人简介:Yucheng Sun is an assistant professor at ISEM in CUEB. He works on time series analysis and financial econometrics.

(日期:2017-11-08 作者: 来源:)