Estimation of the realized (co-)volatility vector: Large deviations approach
6 avril 2017 @ 09:15 – 10:15 – 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 […]