Senior Honors Thesis: "Volatility Estimation with High Frequency Financial Data: from Wavelet Shrinkage to Threshold Variation Methods"

Speaker: Hangcen Zou, Washington University in Saint Louis

Abstract: As volatility plays an essential role in many financial practices, such as portfolio allocation, derivative pricing, and risk management, an accurate estimation of volatility is in the spotlight. In this presentation, we will discuss optimal parameters of four different methods for estimating volatility using high-frequency data with and without the existence of market microstructure noises, and compare four methods with their respective optimal parameters.

Host: José E. Figueroa-López