Relatore:
Jean Jacod
- Former Professor Emeritus at the Sorbonne University
mercoledì 25 settembre 2024
alle ore
12.00
We derive the limit of infill asymptotic distribution for the sum of positive returns of prices or log-prices in a given period of time. The framework is multivariate and quite general: it allows for the presence of leverage effects and jumps with finite activity. In a second step, the results are used to estimate the drifts (or rather, the Sharpe ratios) of the continuous part of the processes.
