Summer 2021

Topic: Detection of Jump Discontinuities in Financial Time Series

Duration: 6 weeks, Starting date: Tuesday 29th June, End date: Tuesday 10th August.

The participants are supposed to read the papers in the references before starting of the summer school. It is important that they gain some level of understanding about the results presented in those. The details will be discussed during the summer project.  

Reference:

1. George J. Jiang, Estimation of Jump-Diffusion Processes Based on Indirect Inference, IFAC Computation in Economics, Finance and Engineering: Economic Systems, Cambridge, UK, 1998: 385-390.

2. Mancini, Cecilia. Non-parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps. Scandinavian Journal of Statistics 36 (2009): 270-296.

3. Figueroa-Lopez, Jose E.; Mancini, Cecilia. Optimum thresholding using mean and conditional mean squared error. J. Econometrics 208.1 (2019): 179-210.

4. Das, Milan Kumar; and Goswami, Anindya. Inference of Binary Regime Models with Jump Discontinuities (2020) arxiv.org/abs/1910.10606.