题目：REALIZED LAPLACE TRANSFORM OF VOLATILITY WITH MICROSTRUCTURE NOISE

报告人：刘志 助理教授（澳门大学）

时间：2015年5月29日（周五）16:15-17:15

地点：数学楼二楼学术报告厅
摘要：In this paper, we consider the problem of estimating the Laplace transform of volatility by allowing the presence of micro-structure noise, within a fixed time interval [0,T] and under high frequency sampling. We use the pre-averaging approach to remove the e ffect of micro-structure noise, and under the high frequency scenario, we obtain a consistent estimator with convergence rate n^{-1/6}, where n is the length of sampling interval. The simulation study justify the finite sample performance of the proposed estimator.