[ECON20141709]

數(shù)量經(jīng)濟學研討會

報告題目：Business Time Sampling Scheme and Its Application
報告人：董英杰 
報告時間：2014年06月19日下午12:30-13:30
報告地點：明德主樓729


報告摘要：
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data using a time-transformation function. The sampled BTS returns have approximately equal volatility with a target average sampling frequency. We investigate the semi-martingale property of the BTS returns and find that the iid Gaussian distribution assumption describes the BTS returns better than returns obtained from the Calendar Time and Tick Time sampling schemes. We propose a modified ACD-ICV estimate (Tse and Yang (2012)) of intraday volatility based on the BTS methodology and find that our method has superior performance over the Realized Kernel estimate and Tse and Yang`s (2012) estimate based on sampling by price events.



報告人簡介：
董英杰， 新加坡管理大學經(jīng)濟學院博士候選人。他的主要研究方向為金融計量經(jīng)濟學。




數(shù)量經(jīng)濟教研室 運籌學與數(shù)量經(jīng)濟研究所 中國人民大學經(jīng)濟學院 2014年06月

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