[Forum SIS] Annuncio di Seminario 13/12/17 - Prof. Richard Gerlach

[Giuseppe Storti]

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Annuncio Seminario di Statistica 

Dipartimento di Scienze Economiche e Statistiche - DiSES [1] 

UNIVERSITÀ DEGLI STUDI DI SALERNO 

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13 DICEMBRE 2017 ORE 14.30, SALA DEI CONSIGLI DISES 

Professor Richard Gerlach 

Discipline of Business Analytics 

Business School, The University of Sydney | www.sydney.edu.au [2] 

INVERSION COPULA GARCH MODELS 

Abstract: Inversion copulas show promise in modelling latent nonlinear
state space models with Markov dependence structures. We extend this
idea to cover nonlinear time series with non-Markov dependence, with
focus on two special cases: the well-known GARCH and Realized GARCH
specifications. Both present challenges in finding and evaluating the
implied margin of the latent variable: we discuss some possible
solutions here. Likelihood and Bayesian computational methods are
derived for estimation, inference and forecasting purposes. The two new
time series inversion copula models are used to model and forecast
financial returns from several financial indices, including an emerging
markets index and a gold and silver index. The proposed models are
competitive for density and tail risk forecasting in these series,
compared to a range of popular, competing financial time series models. 

LABORATORIO DI RICERCA E FORMAZIONE AVANZATA IN STATISTICA STATLAB [3] 

Università degli Studi di Salerno 

Via Giovanni Paolo II, 132 

84084 Fisciano SA 

Tel. +39 089 96 3132 

-- 
Giuseppe Storti
Professor of Economic Statistics
Dipartimento di Scienze Economiche e Statistiche
Università degli Studi di Salerno
Via G. Paolo II, 132 - 84084 Fisciano (SA, Italy)

web:   http://docenti.unisa.it/giuseppe.storti
email: storti at unisa.it
phone: +39 089 962212 

Links:
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[1] http://www.dises.unisa.it/index
[2] http://www.sydney.edu.au/
[3] http://www.statlab.unisa.it/index
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