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

[antonio punzo]

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



*Robust clusterwise autoregressive conditional heteroskedasticity*

*Pietro Coretto*

*Department of Economics and Statistics*

*University of Salerno*







Martedì 15 Settembre dalle ore 11:30

In Aula 6



Università di Catania

Palazzo delle Scienze, Corso Italia, 55, Catania





*Abstract*:



The dishomogeneity of the cross-sectional distribution of realized stock
volatilities is modelled with a mixture model able to accommodate the
typical extreme tail behaviour. Robust model-based clustering is used to
recover the underlying cluster structure. This information is profitably
used for specifying parsimonious state-dependent models for volatility
where parameters evolve cluster-wise. In particular we propose a novel
GARCH-type specifications whose parameters vary through time as a function
of the probability that, at a given time point, the stock belongs to a
specific volatility cluster. The empirical performance of the proposed
models and methods is assessed on a panel of U.S. stocks traded on the NYSE.




I colleghi interessati sono cordialmente invitati a partecipare.


Antonio Punzo
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