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A new estimator for integrated volatility with microstructure noise and jumps

  • 演讲者:陈海强(厦门大学)

  • 时间:2015-10-16 10:10-11:10

  • 地点:科教服务中心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. The estimator is based on the joint using of pre-averaging multi-power variation estimation and threshold technique, severing to remove the impact from microstructure noise and jumps respectively. Asymptotic properties of the proposed estimator, such as consistency and associated central limit theorems are provided.