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A Unified Approach for Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise
澳门新葡8455最新网站:2014年05月21日 00:00 点击数:

报告人:李莹莹

报告地点:澳门新葡8455最新网站515室

报告澳门新葡8455最新网站:2014年05月29日星期四15:00-16:00

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报告摘要:

In studies of volatility estimation based on high-frequency data, existing literature most often assumes the market microstructure noise is random and additive on log prices. Research for situations where the market microstructure noise is due to rounding to the price grids is also available. However, despite the practical relevance of co-presence of random noise and rounding, the existing methods only focus on one type of noise and hence suffer from biases when both types of noise are present. This paper is the first attempt to complete the literature by a unified approach for volatility estimation in the presence of either one or both rounding and random market microstructure noise. The proposed volatility estimation method enjoys superior asymptotic properties. Numerical studies via simulation and empirical analysis show that compared with existing popular estimation methods, the performance of our proposed method can be substantially better in terms of finite sample bias, standard error and robustness over different sampling frequencies. Based on Joint work with Zhiyuan Zhang and Yichu Li

主讲人概况:

Dr. Yingying Li is an Assistant Professor in the Department of Information Systems, Business Statistics and Operations Management at the Hong Kong University of Science and Technology. She received her Ph.D. in Statistics from The University of Chicago in 2008 and was a postdoctoral research fellow and lecturer at Princeton University in 2009. Dr. Li’s research interests lie in high-frequency and high-dimensional financial data. Her research has been published in leading statistics, finance and econometrics journals, including Journal of Financial Economics, Journal of the American Statistical Association, Annals of Statistics. Dr Li has been invited to present her research at over 50 academic conferences or universities.

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