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Dr.Wenhao Cui: Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous

Publish Date: 2018/12/18 10:22:28    Hits:

On 17th December, 2018, we welcomed the speaker Dr.Wenhao Cuifrom North Carolina State University.He obtained his bachelor’s degree in finance from Fudan University. His research focuses on Financial Econometrics, Time Series Econometrics and Econometrics.

In the seminar, Dr.Cui presented his last research “Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous”, which introducesa new nonparametric volatility measure based on the Laplace transform, which is robust to the presence of both microstructure noise and the endogeneity of observation times. The research concludes that the naive and bias-corrected Laplace estimator perform better than most estimators in terms of forecasting equity return volatility.

More than 20 teachers and students of the School of Economics and Management have participated in the seminar and discussed the study with Dr.Cui. We are looking forward to the Bi-Week Applied Economics Colloquium next week.