- Seminars
- High Frequency Returns Sign-Based Robust Inference
High Frequency Returns Sign-Based Robust Inference
Speaker
Jean Jacod - Former Professor Emeritus at the Sorbonne University
Date
Sep 25, 2024 - Time:
12:00
We derive the limit of infill asymptotic distribution for the sum of positive returns of prices or log-prices in a given period of time. The framework is multivariate and quite general: it allows for the presence of leverage effects and jumps with finite activity. In a second step, the results are used to estimate the drifts (or rather, the Sharpe ratios) of the continuous part of the processes.
- Data pubblicazione
- Jul 5, 2024
- Contact person
- Cecilia Mancini
- Department
- Economics