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509 * ! | Wed, 8/12/2015, 10:30 AM - 12:20 PM | CC-205 | |
Statistics for High-Frequency Data — Invited Papers | |||
IMS | |||
Organizer(s): Per A. Mykland, The University of Chicago | |||
Chair(s): Michael Sørensen, University of Copenhagen | |||
10:35 AM | Estimating the Degree of Activity of Jumps of a Discretely Observed Semimartingale — | ||
11:05 AM | Between Data Cleaning and Inference: Pre-Averaging and Robust Estimators of the Efficient Price — Per A. Mykland, The University of Chicago ; Lan Zhang, University of Illinois at Chicago | ||
12:05 PM | Floor Discussion |
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