Perleseminar by Orimar Sauri, Aalborg University
21.11.2018 kl. 12.00 - 13.00
Stochastic processes in continuous time and high frequency financial econometrics
Abstract: In the first part of this talk, I will give a general overview of my research and its connections to the modelling of high frequency financial data. For the second part, the concepts of realized and spot betas of a continuous Itô’s semimartingale will be discussed. Within this framework, a method for their inference is proposed, and it is shown that such procedure is robust to microstructurenoise and asynchronisity. Finally, by using data retrieved from NYSE Trade and Quote (TAQ), we apply our methodology to test the validity of some factor models introduced in the literature.
Institut for Matematiske fag
Skjernvej 4A, AUD 5.034
16.11.2018 kl. 12.00