[Forum SIS] Seminar Petros Dellaportas (University College London) - Università Tor Vergata, April 5th, 12:00

[Maura Mezzetti]

Dear All,
CEIS Tor Vergata is glad to invite you to the Seminar  of

Speaker: Petros Dellaportas (University College London)
Title: Identifying and predicting jumps in financial time series
Where: Room B - 1st floor- Edificio B-  Università Tor Vergata- Via Columbia 2
When April 5th 2019, 12:00

Abstract: We deal with the problem of identifying and predicting  
common risk factors that drive the probabilities of jumps in stock  
daily returns. The stochastic volatility model combined with  
Poisson-driven jumps is used for modelling the time evolution of the  
returns. To capture the dependence of the jumps over time and across  
stocks we model the unobserved intensities of the Poisson process by  
using a dynamic factor model. We develop an efficient Markov chain  
Monte Carlo (MCMC) algorithm to estimate the parameters and latent  
states of the proposed model. We compare its predictive performance  
with the corresponding performance of existing models. Our methodology  
is tested on simulated data and is applied on the daily returns of the  
600 stocks of the STOXX Europe 600 Index, observed over the period of  
2007-2014.

http://www.ceistorvergata.it/area.asp?a=403&oc=499&d=565