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Flavio ZIEGELMANN (Universidade Federal do Rio Grande do Sul (Bresil)) "Forecasting Volatility using Curve Time Series"

January 9, 2020 @ 11:30 am - 12:30 pm
FINANCIAL ECONOMETRICS SEMINAR
Time 11:00 – 12H00
Date:09th of January 2020
Place: Room 3001
Flavio ZIEGELMANN (Universidade Federal do Rio Grande do Sul (Bresil)) “Forecasting Volatility using Curve Time Series”
Abstract : We model the stochastic evolution of probability density functions (pdf’s) of intraday returns over business days, in a functional time series framework. In our empirical analysis of Brazilian index returns, we find evidence that the pdf’s dynamic structure reduces to a vector process lying on a two-dimensional space. Our main contributions are as follows. First, we provide further insight on the finite-dimensional decomposition of the curve process: it is shown that its evolution can be interpreted as a dynamic dispersion-symmetry shift. Second, we provide an application to realized volatility forecasting via several proposed strategies, with a forecasting ability comparable to HAR Realized Volatility models in the Model Confidence Set framework.
 
Organizers:
Jean-Michel ZAKOIAN (CREST )
Sponsors:
CREST and ILB
Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
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