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学术钻研会

金融系-商务统计与经济计量系-统计科学中心团结讲座

2011-03-16

问题:An econometric defence of pure-jump price dynamics

报告人:Stephen Taylor(Lancaster University Management School)

时间:3月22日(周二)14:00-15:30pm

所在:伟易博新楼215课堂

摘要:

Pure-jump stochastic processes are shown to be capable of explaining many empirical features of high-frequency asset prices. A simple pure-jump process can match the empirical bipower variation, realized variance and jump detection statistics of Andersen, Bollerslev and Dobrev (2007) at the two-minute frequency. A multi-frequency analysis of Spyder returns shows the theoretical predictions can also be aligned reasonably accurately with the empirical evidence across more than one sampling frequency.

接待感兴趣的先生和同砚加入!

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