Estimation of integrated volatility with high frequency data

• Grant number: 15/07198-6
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: June 01, 2015
• End date: December 31, 2015
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Principal Investigator: Luiz Koodi Hotta
• Grantee: Victor Freguglia Souza
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 13/00506-1 - Time series, wavelets and functional data analysis, AP.TEM

Abstract

The project has as its theme the estimation of volatility using high frequency data through realized measures. The main goals of the project are: I) introduction to diffusion process; II) study of the realized measures suggested in the literature; III) comparison of the efficiency of the realized measures under different diffusion process; IV) effect of outliers in the realized measures under study; and V) application to empirical series.