|
abstract:
\\name{Jean Jacod}
\\poster{Some questions in high-frequency statistics for semimartingales}
In the context of high frequency data, many questions
have been solved in the recent years: for example the estimation
of the volatility is by now quite well understood under very
general hypotheses, as are some questions about the presence and
some specific features of the jumps when they are present.
In this talk we will give a survey of some recent advances
on this topic, with emphasis on questions which are still open,
especially in the case where the underlying process is a
``purely discontinuous\'\' semimartingale. This in fact amounts
to the existence of appropriate limit theorems for discretized
processes, when the discretization mesh goes to $0$.
\\hrulefill\\newline
\\address{UPMC (Paris-6), Indstitut de Math\\\'ematiques de Jussieu,
4 Place Jussieu, Paris 75005}
|
