Description

Ito's semimaringales are widely used in modeling the asset prices in financial markets. Ito's semimaringales can model both continuous and discontinuous components. In recent years, the availability of high-frequency data has motivated ways to conduct inference on characteristics of a discretely sampled semimartingale, e.g., the integrated volatility and the jump activity index. Furthermore, it is widely accepted that the high-frequency data are contaminated by microstructure noise, whose effect on the statistical inference has been of increasing interest in the literature. We will introduce these topics and discuss some relevant issues in this course.