統計数学セミナー
Seminar on Probability and Statistics |
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Seminar on Probability and Statistics Wednesday February 6 2008 Tokyo 056 1:30-2:40 pm
Estimation of the integrated volatility in presence of microstructure noise
Jean JACOD Universite Paris 6 Abstract The aim is to estimate the integrated volatility of a process observed
discretely, in the setting of high frequency data, and when there is a microstructure
noise. We use a kind of pre-averaging approach, which is rate-optimal when the
noise is i.i.d., and may probably be even variance-optimal for a good choice of
the kernel involved. However, the main innovative aspect is that it
accommodates other types of noise, and in particular the case where the
observations are rounded values of the underlying process plus an additive noise.
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