一、題目：Reading the Candlesticks: An OK Estimator for Volatility

二、主講人：

張秋詩，對外經濟貿易大學bevictor伟德官网金融工程系助理教授。2021年于美國杜克大學經濟學博士畢業。研究領域包括計量經濟學，金融衍生品，金融經濟學，行為金融學。近期主要研究課題包括即時波動率估計、高頻計量跳躍模型和基金績效評估。張博士還擔任Journal of Business and Economic Statistics和Journal of Financial Econometrics期刊的匿名審稿人。 

三、時間：2022年10月26日 星期三上午，10:00-11:30

四、地點：騰訊會議 997-391-910

五、主持人：姜富偉教授，金融工程系主任

六、内容簡介

We propose an Optimal candlesticK (OK) estimator for the spot volatility using high-frequency candlestick observations. Under a standard infill asymptotic setting, we show that the OK estimator is asymptotically unbiased and has minimal asymptotic variance within a class of linear estimators. Its estimation error can be coupled by a Brownian functional, which permits valid inference. Our theoretical and numerical results suggest that the proposed candlestick-based estimator is much more accurate than the conventional spot volatility estimator based on high-frequency returns. An empirical illustration documents the intraday volatility dynamics of various assets during the Fed Chairman's recent congressional testimony.