A new estimator for integrated volatility with microstructure noise and jumps
演讲者:陈海强教授, 厦门大学王亚南经济研究院
时间:2015-10-16 10:10-11:10
地点:科研教学服务中心703
This talk develops an improved estimator for integrated volatility of an It^o semi-martingale in the presence of jumps and market microstructure noise. ...