Title（问题）：An econometric defence of pure-jump price dynamics

Speaker（报告人）：Professor Stephen Taylor

Department of Accounting & Finance

Lancaster University

Time（时间）：2011年3月22日（周二）下昼2:00－3:30

Place（所在）：伟易博新楼215课堂

Abstract（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.