16 Aprile, 2013 14:00 in punto

Seminario Matematico e Fisico di Milano

Estimation of volatility using high-frequency data: a review and some recent developments.

JEAN JACOD, Université de Paris VI - Laboratoire de Probabilités

Politecnico di Milano, Dipartimento di Matematica - Aula Consiglio VII piano

Estimation of the integrated volatility (or, quadratic variation of the continuous martingale
part) of Itò semimartingales which are discretely observed at n points is a central topic in
financial statistics. In this talk I will give an overview of the topic, and also indicate some
of the recent developments, concerning the case where the underlying process has jumps.
The focus will be on efficient estimation procedures.