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SUMMARY:Asymptotic equivalence and sufficiency for volatility estimation u
 nder microstructure noise - Markus Reiss (Humboldt University Berlin)
DTSTART:20100312T153000Z
DTEND:20100312T163000Z
UID:TALK22583@talks.cam.ac.uk
CONTACT:8047
DESCRIPTION:\nThe basic model for high-frequency data in finance is consid
 ered\,\nwhere an efficient price process is observed under microstructure\
 nnoise. It is shown that this nonparametric model is in Le Cam's sense\nas
 ymptotically equivalent to a Gaussian shift experiment in terms of\nthe sq
 uare root of the volatility function $\\sigma$. As an\napplication\, simpl
 e rate-optimal estimators of the volatility and\nefficient estimators of t
 he integrated volatility are constructed.\n\n\n\nhttp://www.mathematik.hu-
 berlin.de/~mreiss/\n
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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