中文版  E-mail    
   Home    |   Introduction    |   Research    |   Faculty    |   Journals    |   Studies    |   Mobile Post-Doctoral Stations    |   Forums    |   Graduate Education    |   Cooperation   
Bulletin Board more ;
Links  
The Wang Yanan Institute for Studies in Economics,XMU
The School of Economics of Xiamen University
Zhejiang University College of Economics
School of Economics and Management of NWU
School of Economics and Management of Tsinghua University
Economics and Management School of WHU
The School of Economics of SHUFE
Contact us  
Add:Center For Economic Research,Shandong University,27 Shanda Nanlu,Jinan,P.R.China
Zip:250100
Tel:0531-88364000
Fax:0531-88364000
E-Mail:shiying@sdu.edu.cn
Current Position: English >> SDUCER Headlines >> 正文
Research talk delivered by Prof. Yuanhua Feng
Updat:Sep 26, 2013   Author:admin   Click:[]

Professor Yuanhua Feng from University of Paderborn gave a research talk on the issue of “Data-driven estimation of realized volatility under independent microstructure noise” on Sept. 24, 2013.

Professor Feng demonstrated that realized volatility (RV) is a model-free estimator of the daily integrated volatility (IV) based on high-frequency financial data. RV can be estimated in some simple ways. However, it is found that, if the data exhibit microstructure noise (MN), most of the simple definitions of RV are now inconsistent estimators of the IV. Different proposals are introduced to solve this problem. Most recently, Barndorf-Nielsen et sal. (2008, 2009 and 2011) introduced the realized kernels (RK), which are consistent estimates of the IV under give conditions. A crucial point to calculate the RV is the selection of the bandwidth. Our purpose is to propose an iterative plug-in algorithm for selecting the bandwidth for RK under the assumption that the MN are i.i.d. It is shown that the proposed algorithm is a fix-point search method and runs very quickly. To our knowledge this proposal is the first fully data-driven algorithm for selecting the bandwidth for RK. The nice properties of the proposed bandwidth selector are indicated by asymptotic results and application to high-frequency data of a few German and French firms within a period of several years.

Last:Researcher Changhong Pei’s forum at Shandong University Next:Seminar series on semiparametric financial time series model delivered by Prof. Yuanhua Feng, University of Paderborn

CLOSE

Copyright(c)ShanDong University Directory Enquiries:(86)-531-88395114 Tel:86-531-88364128/88364000
Copyright 2004-2006 The Center For Economic Research Shandong University
Address:Center for Economic Research,Shandong University,Shanda NanRoad 27#,Jinan,P.R.China. Zip:250100 Fax:86-531-88364981