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Clément CEROVECKI (ULB, Bruxelles) “Functional GARCH Models”.

April 12, 5:30 pm - 6:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 17:30 pm – 18h30 pm
Date: 12th of April 2018
Place: Room 3001.

Clément CEROVECKI (ULB, Bruxelles) “Functional GARCH Models”.

Abstract:Increasing availability of high frequency data has triggered many new research areas in statistics. Functional data analysis (FDA) is one of these disciplines. In FDA densely observed data are transformed into curves and then each (random) curve is considered as one data object. A natural, but still relatively unexplored context for FDA methods is related to financial data, where high-frequency trading nowadays takes a significant proportion of trading volumes. Recently, articles on functional versions of the famous ARCH and GARCH models have been brought fourth. Due to their technical complexity, existing estimators of the underlying functional parameters are moment based, an approach which is known to be relatively inefficient in this context. We promote quasi likelihood approaches. We focus on a finite dimensional and hence feasible framework which allows a realistic practical implementation. Moreover, we can go beyond consistency results and are able to obtain asymptotic normality of the estimators. We support the superiority of our approach by simulations and illustrate its use by forecasting realized volatility of the S\&P100 market index.

 

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:
April 12
Time:
5:30 pm - 6:30 pm
Event Categories:
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