Orateur
Prof.
Jean Jacod
(Université Pierre-et-Marie Curie)
Description
We consider an Itô semimartingale which is observed along a discrete time grid, within a fixed
time interval. The observations are contaminated by noise, and the semimartingale has jumps with
a degree of activity bigger than 1. Our aim is to revisit the estimation of the integrated volatility in
such a setting: we use a mixture of the pre-averaging method (to eliminate noise) and of the empirical
characteristic function method, which has been shown to be efficient (after proper de-biasing) even
when the jump activity is bigger than 1, in contrast with most other methods.
This is a joint work with Viktor Todorov.
Auteur principal
Prof.
Jean Jacod
(Université Pierre-et-Marie Curie)
