JSM 2015 Online Program

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Legend: Washington State Convention Center = CC, Sheraton Seattle = S, Grand Hyatt = GH and The Conference Center = TCC
* = applied session       ! = JSM meeting theme

Activity Details

509 * ! Wed, 8/12/2015, 10:30 AM - 12:20 PM CC-205
Statistics for High-Frequency Data — Invited Papers
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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