报告人：刘志 澳门大学助理教授

时间：12月29日 10：00

地点：数学楼二楼报告厅



摘要：In this talk, I will present a kernel estimator of the instantaneous coefficient of the semi-martingales, where the underlying process can contain a jump part of infinite variation. The estimator is based on representation of characteristic function of the Levy processes. The consistency of the estimator is valid for any Ito semi-martingale. By additionally assuming that the process behaves like a stable Levy process within a neighbourhood of zero, the central limit theorem is established, which shows that the proposed estimator is variance efficient. I will also show some results of the simulation studies and applications of the estimator on real high frequency database.