[Forum SIS] Avviso di seminari

[Francesca De Battisti (francesca.debattisti)]

Il giorno 24/11/2009, il Dipartimento di Scienze Economiche, Aziendali 
e Statistiche organizza presso l'Aula Seminari (2° Piano, Via  
Conservatorio 7, Milano) i seguenti seminari:


Ore 10:10

Alexandre Brouste
Université du Maine
Département de Mathématiques
Le Mans, France

Titolo:
Statistical inference in partial observation setting, in continuous  
time

Abstract:
In this presentation, we will introduce the problem of maximum  
likelihood estimation in partial observation fractional diffusion  
setting and gives some results that have been obtained recently.


Ore 11:00

Roberto Renò
Dipartimento di Economia Politica,
Università di Siena

Titolo: 
Nonparametric leverage effects

Abstract:
Vast empirical evidence points to the existence of a negative  
correlation, named "leverage effect," between shocks in volatility and  
shocks in returns. We provide a nonparametric theory of leverage  
estimation in the context of a continuous-time stochastic volatility  
model with jumps in returns, jumps in volatility, or both. Leverage is  
defined as a flexible function of the state of the firm, as summarized  
by the spot volatility level. We show that its point-wise functional  
estimates have asymptotic properties (in terms of rates of  
convergence, limiting biases, and limiting variances) which  crucially  
depend on the likelihood of the individual jumps and co-jumps as well  
as on the features of the jump size distributions. Empirically, we  
find economically important time-variation in leverage with more  
negative values associated with higher volatility levels.




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Francesca De Battisti 
Dipartimento di Scienze Economiche, Aziendali e Statistiche 
Sezione Statistica e Matematica 
(III piano, studio n. 29) 
Via Conservatorio 7 
20122 - Milano 
Tel: 02.50321464 
Fax: 02.50321505 
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