FINANCIAL ECONOMETRICS SEMINAR

Time:10:30
Date: 20th of June 2019
Place: Room 3001

Ostap OKHRIN (Dresden University of Technology, Germany) “Stochastic Volatility with Jump Models: Moments, Simulation, and Estimation”

Abstract : In this paper we consider a stochastic volatility with jumps-in-the-mean equation. Our aim is to develop a laboratory for simulation of times series with exactly known moments. We determine explicit formulas for the unconditional moments, up to the fourth order, and for temporal measures of dependence of the stochastic-variance process and the log-price returns process. For simulations of the continuous part of the processes we build on Andersen (2008) QE scheme for which we show how to generate data with given moments of order up to the third. For the discrete part of the log-return process we determine the value of the compensator. In an empirical section we reconsider estimates for various moments and determine the convergence properties for given sample sizes. Then we use Method of Moments for the estimation of the CIR process.

Joint work : Michael Rockinger (Université de Lausanne) and Manuel Schmid (Dresden University of Technology, Germany)

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
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