Laboratoire de Mathématiques de Besançon - UMR 6623 CNRS
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27 mars 2017: 1 événement

  • Planning des séminaires 2016-2017

    Lundi 27 mars 11:00-12:00 - Hacène DJELLOUT - Laboratoire de Mathématiques, Université Blaise Pascal - Clermont II

    Séminaire PS : Estimation of the realized (co-)volatility vector : Large deviations approach

    Résumé : Realized statistics based on high frequency returns have become very popular in financial economics.In recent years, different non-parametric estimators of the variation of a log-price process have appeared. Among them are the realized quadratic (co-)variation which is perhaps the most well known example, providing a consistent estimator of the integrated (co-)volatility when the logarithmic price process is
    continuous. In this paper, we propose to study the large deviation properties of realized (co-)volatility. Our main motivation is to improve upon the existing limit theorems such as the weak law of large numbers or the central limit theorem which have been proved in different contexts. Our large deviations results can be used to evaluate and approximate tail probabilities of realized (co-)volatility. As an application we provide
    the large deviations for the standard dependence measures between the two
    assets returns such as the realized regression coefficients or the realized correlation. Our study should contribute to the recent trend of research on the (co-)variance estimation problems, which are quite often discussed in high-frequency financial data
    analysis.

    Lieu : Salle 316 - LMB

    En savoir plus : Planning des séminaires 2016-2017

27 mars 2017: 1 événement