Minor Oral: "Robust Estimators for Integrated Volatility with Noisy High-Frequency Data"

Qi Wang, Washington University in Saint Louis

Abstract: For financial asset price, one of the emblematic problems is to estimate the volatility. Efficient estimation of the volatility is important for accurate measurement and effective control of risk. The emergence of high frequency data makes it possible to estimate the integrated volatility over a relatively short period of time using the increments. But high frequency returns do not conform with the conventional arbitrage-free model, which can be explained by microstucture noise. In this talk, I will review several robust estimators for integrated volatility based on the high frequency data contaminated by microstucture noise. Also, their correlations and differences will be discussed.

Host: Jose Figueroa-Lopez