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Yang Zu (University of Nottingham) “Estimation of the variance function in bubble models with applications.”
Time: 10:30 pm
Date: 17th of February 2022
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Yang Zu (University of Nottingham) “Estimation of the variance function in bubble models with applications.”
Abstract :In this paper we consider estimating the innovation variance function when the conditional mean model is characterized by a structural break autoregressive model, which exhibits multiple unit root, explosive, mildly explosive and stationary collapse segments, allowing for behaviour often seen in financial data where bubble and crash episodes are present. We propose a nonparametric approach which provides a convenient solution to the problem and achieve robustness to various structural break features in the conditional mean model. Several possible applications of the estimated variance function will be discussed.
Organizers:
Jean-Michel ZAKOIAN (CREST)
Sponsors:
CREST