Research
My research interests are on three main themes:
My research interests are on three main themes:
Volatility and Price Jumps Modelling Using High-Frequency Intra-day Data
The Role of Information Asymmetry in Financial Markets and How to Deal with It
Linear Hawkes Model and Related Models/Issues
Key words: Financial Markets, High-frequency Data, Stochastic Volatility, Price Jumps, Hawkes Process, Financial Statistics, Information Asymmetry
Key words: Financial Markets, High-frequency Data, Stochastic Volatility, Price Jumps, Hawkes Process, Financial Statistics, Information Asymmetry