Finance Seminar Series: Ingmar Nolte, Lancaster University

Title: Point process based volatility estimation

2016.12.07 | Bodil Westermann Krog

Date Wed 22 Mar
Time 12:30 13:30
Location Fuglesangs Allé 4, 8210 Aarhus V, building 2632(L), room 242

Speaker: Ingmar Nolte, Lancaster University

Title: Point process based volatility estimation

The talk will be based on the following two papers:

"More Accurate Volatility Estimation and Forecasts Using Price Durations"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2713322

"High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables: An Autoregressive Conditional Intensity Approach"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2665639

Organizer: Özlem Dursun-de Neef

Finance and Accounting Seminar Series