[Statlist] Seminar ueber Statistik

Christina Kuenzli kuenz|| @end|ng |rom @t@t@m@th@ethz@ch
Wed Jun 23 06:34:08 CEST 2004


                       ETH and University of Zurich 
      Proff. A.D. Barbour -- P. Buehlmann -- F. Hampel -- H.R. Kuensch 

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           We are pleased to announce the following seminar
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Friday, July 2, 2004, 15.15 LEO C 15

     Per Mykland, University of Chicago

     The determination of time-varying volatility: 
     A tale of two time scales

It is a common financial practice to estimate volatility from
the sum of frequently sampled squared returns. However market
microstructure poses challenges to this estimation approach. This work
attempts to lay out theoretical grounds that reconcile continuous-time
modeling and discrete-time samples. We propose an estimation approach that
takes advantage of the rich sources in tick-by-tick data while preserving
the continuous-time assumption on the underlying returns. Under our
framework, it becomes clear why and where the ``usual'' volatility
estimator fails when the returns are sampled at the highest frequency.
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(LEO (Leonhardstrasse 27, 8006 Zurich) is close to the main building,
across the hill-side station of the 'Polybahn') 
Overview maps of ETH : http://www.ethz.ch/search/orientation_en.asp

Further information: Christina Kuenzli, Statistics Seminar of ETH Zurich 
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Everybody is kindly invited
 
Eidgenoessische Technische Hochschule Zuerich
Swiss Federal Insitute of Technology Zurich

________________________________________________________
Christina Kuenzli            <kuenzli using stat.math.ethz.ch>
Seminar fuer Statistik      
Leonhardstr. 27,  LEO D11          phone: +41 1 632 3438         
ETH-Zentrum,                       fax  : +41 1 632 1228 
CH-8092 Zurich, Switzerland        http://stat.ethz.ch/~




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