主题：CLT and Large Deviation Principle of the Joint Realized Laplace Transform of Volatilities
主讲人：刘志 澳门大学
主持人：杨广仁 88858cc永利官网
时间：2024年10月19日（周六）上午11:00-12:00
地点：88858cc永利官网石牌校区88858cc永利官网大楼（中惠楼）102室
摘要
We first investigate the estimation of the integrated joint Laplace transform of volatilities of two semi-martingales within a fixed time interval [0, T] by using overlapped increments of high-frequency data. The proposed estimator is robust to the presence of finite variation jumps in price processes. The related functional central limit theorem for the proposed estimator has been established. Compared with the estimator with non-overlapped increments, the estimator with overlapped increments improves the asymptotic estimation efficiency. We study the asymptotic theory of estimator under long-span setting, which enable us to test the dependence between volatilities. Finally, simulation studies demonstrate the performance of proposed estimators. Moreover, we will also introduce some recent results on the large and moderate deviation principles for the joint realized Laplace transform of volatilities with non-overlapped increments.
主讲人简介
刘志,2011年博士毕业于香港科技大学，2011年8月---2012年8月任厦门大学王亚南经济研究院与88858cc永利官网双聘助理教授，2012年8月起先后任澳门大学数学系助理教授，副教授，教授。IMS,AFA,EconometricSociety会员。主要研究方向有：金融高频数据分析、金融风险管理、随机过程统计推断，生物信息等。已在AoS，Jasa，JoE，Jbes，Bioinformatics，ET等相关研究方向的权威期刊发表论文40多篇。
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校对| 刘一鸣
责编| 彭 毅
初审| 姜云卢
终审发布| 何凌云
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