“Continuous Time Econometric Methods for Macroeconomics and Finance,” Adam Smith Business School, University of Glasgow, two-day doctoral training course

    Activity: Participating in or organising an event types › Participation in or organising a workshop, seminar, course

    Description

    Topic 1: Traditional approaches to continuous time econometric modelling
    Topic 2: Likelihood methods for continuous time models in finance
    Topic 3: Estimating volatility in the presence of market microstructure noise
    Topic 4: Testing for jumps in a discretely observed process
    Topic 5: Continuous time volatility modelling: COGARCH versus Ornstein-
    Uhlenbeck models
    Period26 Jan 2017 → 27 Jan 2017
    Event typeCourse
    LocationGlasgow, United KingdomShow on map