STATISTICS COLLOQUIUM
Fangfang Wang
Visiting Assistant Professor
University of Connecticut
On the Estimation of Integrated Volatility in the Frequency Domain
ABSTRACT
This talk discusses frequency-domain analysis of integrated volatility using intraday information.
By exploring the informational content of the power spectrum of ultra-high-frequency data, the
speaker would consider a realized periodogram-based estimator for the ex-post price variation.
When intraday equity prices are sampled at ultra-high frequency and are contaminated with
market microstructure noise, the proposed estimator behaves like a low-pass filter: it removes
the noise by filtering out high frequency periodograms and converts the high frequency data
into low frequency periodograms. Numerical study shows that the proposed estimator is
insensitive to the choice of sampling frequency and it is competitive with other existing noise-
corrected volatility measures.
DATE: Wednesday, January 18, 2017
TIME: 4:00 pm
PLACE: Philip E. Austin Bldg., Rm. 105
Coffee will be served at 3:30 pm in the Noether Lounge (AUST 326)
For more information, contact: Tracy Burke at tracy.burke@uconn.edu