JEAN JACOD, Emeritus Professor at the University Pierre et Marie Curie in Paris (Paris 6),

on Wednesday, the 22nd at 12:00, will give the following SEMINAR

Title: Testing for the Markov Property in a High-Frequency Setting (joint with Yacine Ait-Sahalia)

Abstract. The aim is to present a test for the homogeneous Markov property of a one-dimensional process X observed at regularly spaced times over a finite time interval. The frequency goes to infinity, and we test the null hypothesis according to which the spot volatility takes the form sigmat= f(X_t) for some smooth enough non-vanishing function f. The test relies on some Central Limit Theorems related to the local times of a semimartingale. We allow the process X to have jumps, restricted to finite activity. We will mostly consider the case when the process is observed without error, and if time permits we will give a method covering the case where microstrucutre noise is present.

All interested people are warmly invited to participate. The seminar will be offered in a hybrid format:

Zoom Webinar: please use the following form to register and to receive the webinar link on the day of the seminar

https://docs.google.com/forms/d/e/1FAIpQLScZAsFnymSi11UklAMABm8Nwtg6txOogxQDlhTG4vfAqeL6RQ/viewform

Live attendance: the Department of Economics, via Cantarane 24, Vaona room.

Due to the limited number of available seats, interested people should write an e-mail to: cecilia.mancini@univr.it

Professor Jacod will be visiting our department from 20 to 23 of September