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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
噪声 异步高频 数据估算 因子 现货波动率 矩阵
2023/5/4
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...
Unravelling winter diatom blooms in temperate lakes using high frequency data and ecological modeling
temperate lakes winter diatom blooms winter phytoplankton ecological mode
2021/7/27
In temperate lakes, it is generally assumed that light rather than temperature constrains phytoplankton growth in winter. Rapid winter warming and increasing observations of winter blooms warrant more...
Is Brownian motion necessary to model high-frequency data?
Brownian motion high-frequency data
2010/11/18
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuou...
ESTIMATING THE DEGREE OF ACTIVITY OF JUMPS IN HIGH FREQUENCY DATA
Jumps index of activity infinite activity discrete sampling high frequency
2014/3/13
We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators’ properties.These estimators are applicable despite the pres...