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DTSTART:20220327T010000
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DTSTART;TZID=Europe/Helsinki:20220414T103000
DTEND;TZID=Europe/Helsinki:20220414T113000
DTSTAMP:20260713T073622
CREATED:20220405T042558Z
LAST-MODIFIED:20220405T042558Z
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SUMMARY:Leopoldo CATANIA  (Aarhus University) "The Leverage Effect and  Propagation"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 10:30 pm\nDate: 14th of April 2022\nRoom 3001+ zoom \nLeopoldo CATANIA (Aarhus University) “The Leverage Effect and Propagation” \nAbstract : This paper proposes a new way to measure the leverage effect and its propagation over time. We also show that\, with respect to the newly proposed measure\, common volatility models like the GJRGARCH\, the Exponential GARCH\, and the asymmetric SV can be inaccurate to correctly represent the leverage effect and its propagation for financial time series. We propose to modify the variance recursion of common volatility models by including an auxiliary leverage process which allows for a proper representation of the leverage effect and its propagation over time. Empirical results indicate that the inclusion of the auxiliary leverage process is required for both in sample and out of sample analyses. \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/leopoldo-catania-aarhus-university-the-leverage-effect-and-propagation/
CATEGORIES:Finance-Insurance,Financial Econometrics
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DTSTART;TZID=Europe/Helsinki:20220414T103000
DTEND;TZID=Europe/Helsinki:20220414T113000
DTSTAMP:20260713T073622
CREATED:20220405T042841Z
LAST-MODIFIED:20220405T042841Z
UID:13560-1649932200-1649935800@crest.science
SUMMARY:Frederik OKSLUND   (Aarhus University) "In Search of  Regimes in  Log-Realized Volatility"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 11:30 pm\nDate: 14th of April 2022\nRoom 3001+ zoom \nFrederik OKSLUND (Aarhus University) “In Search of Regimes in Log-Realized Volatility” \nAbstract :We investigate whether regimes exist in the realized log-volatility processes of a number of stock indices by applying a handful of dynamic mixture models to this process in order to identify and separate e.g. low-volatility periods from high-volatility periods. The GAS model of Creal et al. 2013 is used to introduce dynamics in the model’s parameters while a set of different filters are used to model the (possibly dynamic) mixture weights. We seek to answer not only the question of whether regimes exist in these processes\, but also of whether one filter is more appropriate than another in recovering the mixture weights\, or whether they all uncover similar dynamics.\nAmong the filters considered is the Hamilton filter (Hamilton 1989) the DAMM (Catania 2016) and the LDAMM (Catania and Harvey\, 202X). As a benchmark we employ a standard Gaussian GAS model with no mixture\n \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/frederik-okslund-aarhus-university-in-search-of-regimes-in-log-realized-volatility/
CATEGORIES:Finance-Insurance,Financial Econometrics
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