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数学大讲堂

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. ...