岭南学术论坛－金融学系列Seminar－Global estimation of realized spot volatility in the presence of price jumps

岭南学术交流会（金融学系）

报告题目：Global estimation of realized spot volatility in the presence of price jumps

报  告  人：Matthias Fengler（瑞士St. Gallen大学，教授）

主  持  人：刘彦初（中山大学岭南学院，副教授）

时        间：2019年6月17日（周一）下午14:30-16:00

地        点：岭南堂黄炳礼会议室

语        言：英文

摘要：

We propose a non-parametric procedure for estimating the realized spot volatility of a price process described by an Itô semimartingale with Lévy jumps. The procedure integrates threshold jump elimination techniques with a Gabor frame expansion of the realized trajectory of spot volatility. We show that the procedure converges in probability in L^2([0, T]) for a wide class of spot volatility processes, including those with discontinuous paths. The analysis assumes that the time interval between price observations tends to zero. The intended application is spot volatility estimation from high  frequency financial data.

报告人简介：

Matthias Fengler is Professor of Econometrics at St. Gallen University (Switzerland). His main field of research is financial econometrics.  Matthias earned his PhD at Humboldt-University at Berlin (Germany). He has published in the Journal of Econometrics, Journals of Financial Econometrics and Oxford Bulletin of Economics and Statistics among others.

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