Annuncio seminario

[Elena Stanghellini <stanghel@stat.unipg.it>]

Seminari del Dipartimento di Scienze Statistiche, Universita' di Perugia,
Aula Interna del Dipartimento.

Prof. Giampiero Gallo -- Universita' di Firenze

Data: Lunedi' 9 febbraio  2004 ore 15.00

Titolo: Volatility Estimation via Hidden Markov Models (con A. Rossi)

Abstract:

In this paper we propose a stochastic volatility model where the
conditional variance of asset returns can switch across a (potentially
large) number of discrete levels, and the dynamics of the switches are
driven by a latent Markov chain. A simple parameterization avoids the
problem of the number of parameters becoming unmanageable when the number
of states of the Markov chain increases which is commonly encountered in
Markov-switching models. We show that this framework presents some
interesting features in modelling the persistence of volatility, and that,
far from being constraining in data fitting, it performs well in
forecasting when compared to other popular approaches.



Potete contattarmi per ulteriori informazioni.
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Elena Stanghellini
Dipartimento di Scienze Statistiche
Via A. Pascoli - C.P. 1315 Succ. 1
06100 Perugia (Italy)

Tel +39 075 5855229 or 5855242
Fax +39 075 5855950

email: elena.stanghellini@stat.unipg.it
home page: http://www.stat.unipg.it/DSS/html/elena.html
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