[Forum SIS] Annuncio Seminario - Genaro Sucarrat - 11 Maggio 2017

[Statlab Dises]

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Annuncio Seminario di Statistica

Dipartimento di Scienze Economiche e Statistiche - DiSES
<http://www.dises.unisa.it/index> 

Università degli Studi di Salerno

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11 Maggio ore 15.30, Sala dei Consigli DiSES

Prof. Genaro Sucarrat, BI Norwegian Business School, OSLO

Risk Estimation when the Zero-Probability of Financial Return is
Time-Varying

Abstract  The probability of an observed financial return being equal to
zero is not necessarily zero. This can be due to liquidity issues (e.g. low
trading volume), market closures, data issues (e.g. data imputation due to
missing values), price discreteness or rounding error, characteristics
specific to the market, and so on. Moreover, the zero probability may change
and depend on market conditions. In standard models of risk (e.g.
volatility, Value-at-Risk, Expected Shortfall), however, the zero
probability is zero, constant or both. We propose a new class of models that
allows for a time-varying zero probability, and which can be combined with
standard models of return: They are nested and obtained as special cases.
Another attraction is that the return properties of the new class (e.g.
volatility, skewness, kurtosis, Value-at-Risk, Expected Shortfall) are
obtained as functions of the underlying volatility model. The new class
allows for autoregressive conditional dynamics in both the zero probability
and volatility specifications, and for additional covariates. An application
illustrates that risk-estimates can be substantially biased if the
time-varying zero probability is not accommodated.

Link to paper (latest available version):
<https://mpra.ub.uni-muenchen.de/77264/>
https://mpra.ub.uni-muenchen.de/77264/

 

Laboratorio di Ricerca e Formazione avanzata in Statistica STATLAB
<http://www.statlab.unisa.it/index> 

Università degli Studi di Salerno

Via Giovanni Paolo II, 132

84084 Fisciano SA

Tel. +39 089 96 3132

 

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