Estimating the spot variance in the presence of intraday periodicity and microstructure noise. Application to high frequency jump test
Pawel Janus (VU Amsterdam)
- PhD Lunch Seminars
Pawel Janus (VU Amsterdam)
Kenneth Shepsle (Harvard University)
Manolis Galenianos (Penn State University)
Bernd Schwaab (VU Amsterdam)
David Lando (Copenhagen Business School)
Martin Brown (Swiss National Bank)
Saul Lach (The Hebrew University of Jerusalem)
Erik de Wit (University of Amsterdam)
Michal Krawczyk (University of Amsterdam)
John Knowles (University of Pennsylvania)
Miguel Ferreira (Business School Lisbon)
Armin Falk (Bonn University, Institute for the Study of Labour)
Robert Gary Bobo (CREST-INSEE)
Sylvie Blasco (CREST France)
Murillo Campello (University of Illinois)
Erik Sorensen (Vrije Universiteit, Amsterdam)
Elena Pastorino (University of Iowa)
Johan Vikström (Uppsala University)
Vikrant Vig (London Business School)