Robust high frequency financial econometrics

  • Date and time: Wednesday 8 March 2023, 10.30am
  • Location: In-person and online
    A/RC014, Alan Maynard Auditorium
  • Audience: Open to staff, students
  • Booking: Booking not required

Event details

Abstract: Motivated by some problems in high frequency financial econometrics, using an in-fill argument, the properties of the sample median of a sequence of events are established both for the case of a fixed period of time and for a period which shrinks as the sample size grows. The results are used to study the properties of volatility and regression type estimators under stochastic volatility. 

About the speaker

Neil Shephard (Harvard)