[Forum SIS] DEC statistics seminar - March 23 - Alessandra Luati

[Raffaella Piccarreta]

We are glad to announce the next: 

DEC - Statistics Seminar 

Thursday, March 23 rd , 2017 

Bocconi University, 

Room 3-E4-SR03, Via Rontgen 1 - 3rd floor 





Alessandra Luati (Università di Bologna) 



The predictive density of a GARCH(1,1) process 



Abstract: We derive the predictive probability density function of a GARCH(1,1) process, under Gaussian or Student-t innovations. The analytic form is novel, and replaces current methods based on approximations and simulations. 

(joint work with Karim Abadir and Paolo Paruolo) 






Kind regards, 

Raffaella Piccarreta and Isadora Antoniano 



The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar 



ATTENTION: 

If you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please confirm your participation by sending an email to simona.gagino a unibocconi.it 
In addition, we suggest to print, fill out and send the attached form (to give your consent to personal data handling) via email to the same address. In this way, the check-in procedure at the entrance will be faster and easier. 


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Raffaella Piccarreta 
Associate Professor - Statistics 
DEC - Department of Decision Sciences, 
Universita' L.Bocconi, via Guglielmo Röntgen 1 (3rd floor, room D1-09). 20136, Milano. 
email: piccarreta a unibocconi.it 
tel. +39-02-58365659 / fax +39-02-58365630 

Web page (ENGLISH VERSION): http://faculty.unibocconi.eu/raffaellapiccarreta/ 
(ITALIAN VERSION): http://faculty.unibocconi.it/raffaellapiccarreta/ 
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