seminario presso l'IMATI di Milano

[Alessandra Guglielmi <alessan@mi.imati.cnr.it>]

Il giorno 2 novembre 2004, alle h 14.30, si terra' presso il 
CNR-IMATI, sezione di Milano, Via Bassini, 15, Milano, in aula 
convegni (piano terra), il seminario

            BAYESIAN MONTE CARLO FILTERING FOR
              STOCHASTIC VOLATILITY MODELS


                    ROBERTO CASARIN

                       CEREMADE  
              University Paris IX (Dauphine)
                          e
                Dipartimento di Economia 
                 Universita' di Brescia


Abstract.

We study a Markov switching stochastic volatility model with heavy
tail innovations in the observable process. Due to the economic 
interpretation of the hidden volatility regimes, these models have 
many financial applications like asset allocation, option pricing and
risk management. The Markov switching process is able to capture 
clustering effects and jumps in volatility. Heavy tail innovations 
account for extreme variations in the observed process. Accurate 
modeling of the tails is important when estimating quantiles is the 
major interest like in risk management applications. Moreover we 
follow a Bayesian approach to filtering and estimation, focusing on 
recently developed simulation based filtering techniques, called 
Particle Filters. Simulation based filters are recursive techniques, 
which are useful when assuming non-linear and non-Gaussian latent 
variable models and when processing data sequentially. They allow to
update parameter estimates and state filtering as new observations
become available.
Keywords: Particle Filter, Markov Switching, Stochastic Volatility, Heavy
Tails.



Tutti gli interessati sono cordialmente invitati a partecipare.
-- 
Alessandra Guglielmi             e-mail: alessan@mi.imati.cnr.it
CNR-IMATI                        tel.  : ++39.02.23699529 
via Bassini, 15                  fax   : ++39.02.23699538 
20133 Milano (ITALIA)

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