30 novembre 2015 à 2 décembre 2015
Angers - France
Fuseau horaire Europe/Paris

Estimation of volatility in presence of high activity jumps, noise and irregular sampling

30 nov. 2015, 10:00
40m
Angers - France

Angers - France

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)

Documents de présentation

Aucun document.