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  • 统计与管理学院2016年学术报告第61

     

    【主  题】Estimation of Spot Volatility with Infinite Variation Jumps

    【报告人】 Dr. 刘志

    澳门大学

    【时  间】 2016年12月28日(星期三)15:00-16:00

    【地  点】 上海财经大学统计与管理学院大楼1202室

    【摘  要】In this talk, I will present a kernel estimator of the instantaneous coefficient of the semi-martingales, where the underlying process can contain a jump part of infinite variation. The estimator is based on representation of characteristic function of the Levy processes. The consistency of the estimator is established for any Ito semi-martingale. By additionally assuming that the process behaves like a stable Levy process within a neighborhood of zero, the central limit theorem is established, which shows that the proposed estimator is variance efficient. I will also show some results of the simulation studies and applications of the estimator on real high frequency database.

    【邀请人】 夏宁宁