[Forum SIS] Fwd: DEI - Università di Catania: AVVISO DI SEMINARIO

[antonio punzo]

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AVVISO DI SEMINARIO
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Il Dipartimento di Economia e Impresa dell’Università di Catania ha
organizzato il seminario:



*Financial Clustering in Presence of Dominant Markets*

*Prof. Edoardo OTRANTO*

*Dipartimento di Scienze Cognitive della Formazione e degli Studi Culturali
*

*Università di Messina*





Giovedì 29 Gennaio dalle ore 11:30

In Aula 8



Università di Catania

Palazzo delle Scienze, Corso Italia, 55, Catania







*Abstract*:



Clustering financial time series is a recent topic of statistical
literature with important fields of applications, in particular portfolio
composition and risk evaluation. The risk is generally linked to the
volatility of the asset, but its level of predictability also plays a basic
role in investment decisions. In particular, the classification of a
certain asset could be linked to its dependence on the volatility of a
dominant market: movements in the volatility of the dominant market can
provide similar movements in the volatility of the asset and its
predictability would depend on the strength of this dependence. Working in
a model based framework, we base the classification of the volatility of an
asset not only on its volatility level, but also on the presence of
spillover effects from a dominant market, such as the U.S. one, and on the
similarity of the dynamics of the asset and the dominant market. The method
is carried out using an extended version of the Multiplicative Error Model
and is applied to a set of European assets, also performing a historical
simulation experiment.








I colleghi interessati sono cordialmente invitati a partecipare.




*Antonio Punzo*

-- 
Antonio Punzo, Ph.D.
Assistant Professor of Statistics
University of Catania
Department of Economics and Business
Corso Italia 55, 95129 Catania - Italy

Office: +39 095 7537640
e-mail: antonio.punzo a unict.it
URL: http://www.economia.unict.it/punzo
Skype: antoniopunzo81
Web: google scholar
<http://scholar.google.com/citations?user=WmIbxWkAAAAJ&hl=en>




-- 
Dr. Antonio Punzo
Research Fellow in Statistics - University of Catania.
Corso Italia 55, 95129 Catania - Italy.
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