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Colloquium

A new estimator for integrated volatility with microstructure noise and jumps

  • Speaker: 陈海强教授, 厦门大学王亚南经济研究院

  • Time: Oct 16, 2015, 10:10-11:10

  • Location: 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. ...