统计与管理学院2015年学术报告第50期
【主 题】A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise
【报告人】Yingying Li
香港科技大学
【时 间】 2015年11月17日（星期二）15:30－16:30
【地 点】 上海财经大学统计与管理学院大楼1208室
【语 言】 英文
【摘 要】Despite the coexistence of random noise and rounding in practice, existing widely used volatility estimation methods focus only on one of the two sources of error. This paper is the first attempt to propose a unified approach to volatility estimation in the presence of both rounding and random market microstructure noise. The proposed method enjoys consistency as well as optimal convergence rate. Simulation and empirical studies based on both stock and currency exchange data show clear advantages of the proposed method. Based on joint work with Zhiyuan Zhang and Yichu Li.
【邀请人】冯兴东
