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Francisco BLASQUES (VU University Amsterdam Tinbergen Institute) – “Transformed Polynomials for Semi-Nonparametric Conditional Volatility Models”

November 16, 4:15 pm - 5:15 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 16:15 pm – 17:15 pm
Date: 16th of Novembre 2017
Place: Room 3001.

Francisco BLASQUES (VU University Amsterdam Tinbergen Institute) – “Transformed Polynomials for Semi-Nonparametric Conditional Volatility Models”.

Abstract: This paper proposes a new flexible semi-nonparametric model for filtering unobserved time-varying conditional volatilities. We update the conditional volatilities using a class of transformed polynomial functions that is dense on the space of continuous functions and has known convergence rates on smooth Sobolev spaces. Using the properties of the transformed polynomials, we derive conditions for strict stationarity, ergodicity and filter invertibility. We also establish the existence, consistency and convergence rate of the sieve maximum likelihood estimator. A Monte Carlo study and an empirical application demonstrate that the model performs well in empirically relevant settings. Unlike its competitors, the new model captures volatility dependent leverage effects in stock return dynamics.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
November 16
Time:
4:15 pm - 5:15 pm
Event Categories:
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