During recent years the focus of scientific interest has turned from low dimensional stationary time series to nonstationary time series and high dimensional time series. In addition new methodological challenges are coming from high frequency finance where data are recorded and analyzed on a millisecond basis. The three topics “nonstationarity”, “high dimension-ality” and “high frequency” are on the forefront of present research in timeseries analysis. The topics also have some overlap in that there already exists work on the intersection of these three topics, e.g. on locally stationary diffusion models, on high dimensional covariance matrices for high frequency data, or on multivariate dynamic factor models for nonstationary processes. The aim of the workshop was to bring together researchers from time series analysis, nonparametric statistics, econometrics and empirical finance to work on these topics. This aim was successfully achieved.

Boundary Spot Volatility Estimation using the Laplace Tran sform

MANCINO, MARIA ELVIRA;
2013

Abstract

During recent years the focus of scientific interest has turned from low dimensional stationary time series to nonstationary time series and high dimensional time series. In addition new methodological challenges are coming from high frequency finance where data are recorded and analyzed on a millisecond basis. The three topics “nonstationarity”, “high dimension-ality” and “high frequency” are on the forefront of present research in timeseries analysis. The topics also have some overlap in that there already exists work on the intersection of these three topics, e.g. on locally stationary diffusion models, on high dimensional covariance matrices for high frequency data, or on multivariate dynamic factor models for nonstationary processes. The aim of the workshop was to bring together researchers from time series analysis, nonparametric statistics, econometrics and empirical finance to work on these topics. This aim was successfully achieved.
2013
Oberwolfach Reports
European Mathematical Society
Laplace transform; estimation; volatility
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11384/79769
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