[Forum SIS] Annuncio di seminario: Umberto Cherubini

[gottard]

DiSIA  (Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”)
Università di Firenze

- PROSSIMO SEMINARIO -

Mercoledì 18 Aprile  2018 ore 12.00

Umberto Cherubini (University of Bologna)  terrà il seguente seminario : 

Convolution Autoregressive Processes and Excess Volatility
We discuss the economic model and the econometric properties of the Convolution Autoregressive Process of order 1 (C-AR(1)), with focus on the simplest gaussian case. This is a first order autoregressive property in which the innovations are dependent of the lagged value of the process. We show that the model may be generated by the presence of extrapolative bias in expectations. Extrapolative expectations bring about excess volatility and excess persistence in the dynamics of the variable. While excess volatility cannot be identified if one only observes the time series of the variable, identification can be achieved if the expectations of the variable are observed in the forward markets. We show that the model is well suited to generate the excess variance of long maturity prices documented in the Giglio-Kelly variance ratio test. We finally discuss possible extensions of the model beyond the gaussian case both by changing the specification of the expectations model and setting a non linear data generating process for the fundamental process.


Referente: Alessandra Petrucci

Il seminario sara' tenuto presso l’aula 32 del DiSIA, Viale Morgagni n. 59 - 50134 Firenze.

Tutti gli interessati sono cordialmente invitati a partecipare.


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Anna Gottard
Dipartimento di Statistica Informatica Applicazioni
Università di Firenze
V.le Morgagni 59, Firenze

gottard a disia.unifi.it
http://local.disia.unifi.it/gottard/
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