Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data


In this talk we present a new upper bound for the Kolmogorov distance between the maximum of a high-dimensional vector of smooth Wiener functionals and the maximum of a Gaussian random vector. As a special case, we show that... [ view full abstract ]


  1. Yuta Koike (University of Tokyo)

Topic Areas

Econometrics , High-Frequency Trading


TU-P-BU » Econometrics (14:30 - Tuesday, 17th July, Burke Theater)

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