Research




Volatility: High-Frequency Data and Estimators

High-frequency price data contain valuable information about the underlying process. A challenging aspect of estimating volatility from high-frequency data is noise that conceals the efficient price. In my reasearch I have studied the empirical features of the noise and developed accurate estimators of volatility.

Forecasting

Comparison of multiple forecasts.... Overfitting issues.... Qrinkage

Cointegration

Structural Changes in the Cointegrated VAR. Closed-form expression for the Granger Representation. Reduced Rank Regression.