Dear all, on Wednesday 25 September, at noon, Professor Jean Jacod will give the seminar
High Frequency Returns Sign-Based Robust Inference,
at the Department of Economics in Verona, via Cantarane 24, aula Vaona (from the main entrance of the main building in Santa Marta turn left, metal stairs, 1st floor, ring the bell on the right, staircase with 3 steps, room on the left)
It is possible to follow it also on zoom at the following link: https://univr.zoom.us/j/94276571806
Abstract 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.
Joint work with Nour Meddahi
All interested people are warmly invited to take part Best regards in the meantime, Cecilia