学术活动-A new estimator for integrated volatility with microstructure noise and jumps

学术活动

往期活动

A new estimator for integrated volatility with microstructure noise and jumps

2015-10-16 10:10-11:10

This talk develops an improved estimator for integrated volatility of an It^o semi-martingale in the presence of jumps and market microstructure noise. ...