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Volatility and Jump Index Estimation from high frequency financial data
澳门新葡8455最新网站:2011年04月22日 00:00 点击数:

报告人:荆炳义

报告地点:澳门新葡8455最新网站501室

报告澳门新葡8455最新网站:2011年04月29日 星期五 14:30

邀请人:

报告摘要:

It is widely accepted that the security prices contain jumps and the observations are contaminated by microstructure noise. This makes the estimation of key features, e.g., volatility and jump index, of the financial models more involved. In this talk, we propose some procedures to tackle these problems. Some related issues and open problems will also be discussed.

主讲人概况:

荆炳义,香港科技大学教授。

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