
<WRAP centeralign>##Statistics Seminar##\\ Department of Mathematical Sciences</WRAP>

~~META:title =March 26, 2015~~
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^  **DATE:**|Thursday, March 26, 2015 |
^  **TIME:**|1:15pm to 2:15pm |
^  **LOCATION:**|WH 100E |
^  **SPEAKER:**|Fangfang Wang (University of Illinois at Chicago) |
^  **TITLE:**|Realized periodogram-based estimation of integrated volatility in the presence of microstructure noise |
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<WRAP centeralign>**Abstract**</WRAP>
We propose an unbiased measure of ex-post price variation in the
frequency domain. It is periodogram-based. When intraday prices are
contaminated by market microstructure noise, the proposed estimator
behaves like a filter: it removes the noise by filtering out high
frequency periodograms. In other words, the proposed estimator converts
the high frequency data into low frequency periodograms. We show, via a
simulation study and an application to Microsoft transaction prices, that
the proposed estimator is insensitive to the choice of sampling frequency
and it is competitive with other existing noise-corrected volatility
measures.
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**Speaker Biography**: Fangfang Wang is an Assistant Professor of //Information and Decision Sciences// at the //University of Illinois at Chicago, Liautaud Graduate School of Business//. Her research interest includes time series, financial risk management, mathematical finance and empirical finance.
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^  Itinerary  ||
| 09:30 - 10:00|Meeting with A.P. | 
| 10:00 - 10:30|Meeting with G.S. |
| 10:30 - 11:15 |Meeting with Q.Q.Y. |
| 11:50 - 1:00|Lunch with Math faculty (Chenango Room) |
| 1:15 - 2:15|Seminar talk |
| 2:30 - 3:00|Meeting with G.G.X.|
| 3:00 - 3:30|Meeting with W.D.M.|
| 3:30 - 5:30|OPEN|
| 5:30 - 7:30|Dinner|
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