25 aout 2023
EFFI_ICIAM2023
Efficient Inference for large and high-frequency dataSymposium
Le 25 août 2023
Symposium organisé dans le cadre de l'ANR EFFI 2022-2025.
Programme / Slides
Alexandre Brouste, Fast and asymptotically efficient inference for large and high-frequency data [pdf]
Yury Kutoyants, On Adaptive Kalman Filtration [pdf]
Youssef Esstafa, Fast calibration of weak FARIMA models [pdf]
Samir Ben Hariz, Fast Inference for Stationary Time Series [pdf]
Laurent Denis, Local asymptotic property for the Euler approximation of SDE driven by a stable Lévy process [pdf]
Hiroki Masuda, Asymptotics for Student-Lévy regression [pdf]
Elise Bayraktar, High-frequency estimation of pure jump alpha-CIR process [pdf]
Ahmed Kebaier, Local asymptotic properties for the growth rate of a jump-type CIR process
Grégoire Szymansky, Statistical inference for rough volatility: minimax theory [pdf]
Mikko Pakkanen, A GMM approach to estimate the roughness of stochastic volatility [pdf]
Tetsuya Takabatake, Asymptotically Efficient Estimation for Fractional Brownian Motion with Additive Noise
Mathieu Rosenbaum, Understanding how market impact shapes rough fractional volatility
