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Research

Financial Math Seminar

A new estimator for integrated volatility with microstructure noise and jumps

Speaker: Chen Haiqiang
Time: Oct 16, 2015, 10:10-11:10
Location: Conference Room 703, Service Center of Scientific Research and Teaching

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.