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Activity Number:
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180
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Type:
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Invited
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Date/Time:
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Monday, July 30, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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| Abstract - #307916 |
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Title:
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Local Parametric Inference in the Hidden Semimartingale Model
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Author(s):
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Per A. Mykland*+
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Companies:
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The University of Chicago
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Address:
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Department of Statistics, Chicago, IL, 60637,
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Keywords:
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local likelihood ; high frequency data ; financial data ; semimartingale ; contiguity
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Abstract:
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The availability of high frequency data for financial instruments has opened the possibility of accurately determining volatility in small time periods, such as one day. Recent work on such estimation indicates that it is necessary to analyze the data with a hidden semimartingale model, typically by the addition of measurement error. The current talk discusses likelihood approaches to inference in such models.
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