Speaker: Benjamin Cooper Boniece, Drexel University.
Title: An iterative approach to volatility estimation.
Abstract: The quadratic variation of a semimartingale plays an important role in a variety of applications, particularly so in financial econometrics, where it is closely linked to volatility. In the past two decades, many methods have been put forth that aim to provide jump-robust estimates of volatility by separating quadratic variation into its continuous and discontinuous parts.
However, in spite of the favorable asymptotic statistical properties of these approaches, they face a "tuning problem": their use in practice requires entirely heuristic selection of tuning parameters which can greatly impact their estimation performance.
In this talk, I will discuss some recent work concerning an "automated" iterative approach that circumvents the tuning problem.
Tuesday, November 12, 2024 4:05pm to 5:05pm
1403 Circle Drive, Knoxville, TN 37996