2024
04.12
暨南经院统计学系列Seminar第134期: 崔文昊(北京航空航天大学)
主题:Inference for Volatility under Time Endogeneity主讲人:崔文昊北京航空航天大学主持人:朱海斌暨南大学时间:2024年4月12日(周五)下午15:00-16:30地点:暨南大学石牌校区经济学院大楼(中惠楼)102室摘要We propose an endogenous sampling scheme for volatility estimation and inference. The proposed scheme minimizes the asymptotic variance of realized variance, resulting in significant efficiency gains compared to equidistant observations due to its incorporation of additional informational content from the observation times. Furthermore, we develop valid inference