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10:30 am
Alessandra LUATI (University of Bologna) “GARCH density and functional forecasts”
The Financial Econometrics Seminar: Time: 10:30 pm Date: 31th of March 2022 Room 3001+ zoom Alessandra LUATI (University of Bologna) "GARCH density and functional forecasts" Abstract :This paper derives the analytic form of the multi-step ahead \pof\ density of a GARCH(1,1) process under Gaussian innovations, with a possibly asymmetric news impact curve. The analytic form […]
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Giuseppe CAVALIERE (University of Bologna) “Bootstrap Inference in the Presence of Bias “
The Financial Econometrics Seminar: Time: 11.30 pm Date: 31th of March 2022 Room 3001+ zoom Giuseppe CAVALIERE (University of Bologna) "Bootstrap Inference in the Presence of Bias " Abstract : In this paper we consider bootstrap inference for estimators which are (asymptotically) biased. We show that, even in cases where the bias term cannot be […]
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