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25 aout 2023


Efficient Inference for large and high-frequency data

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


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