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张秋诗 | 金融工程系Seminar第23期暨皇冠足球比分双周论坛第364期

[发布日期]:2022-10-24  [浏览次数]:

一、题目:Reading the Candlesticks: An OK Estimator for Volatility

二、主讲人:

张秋诗,对外经济贸易大学皇冠足球比分金融工程系助理教授。2021年于美国杜克大学经济学博士毕业。研究领域包括计量经济学,金融衍生品,金融经济学,行为金融学。近期主要研究课题包括即时波动率估计、高频计量跳跃模型和基金绩效评估。张博士还担任Journal of Business and Economic Statistics和Journal of Financial Econometrics期刊的匿名审稿人。 

三、时间:2022年10月26日 星期三上午,10:00-11:30

四、地点:腾讯会议 997-391-910

五、主持人:姜富伟教授,金融工程系主任

六、内容简介

We propose an Optimal candlesticK (OK) estimator for the spot volatility using high-frequency candlestick observations. Under a standard infill asymptotic setting, we show that the OK estimator is asymptotically unbiased and has minimal asymptotic variance within a class of linear estimators. Its estimation error can be coupled by a Brownian functional, which permits valid inference. Our theoretical and numerical results suggest that the proposed candlestick-based estimator is much more accurate than the conventional spot volatility estimator based on high-frequency returns. An empirical illustration documents the intraday volatility dynamics of various assets during the Fed Chairman's recent congressional testimony.

 



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