Programa de Pós-Graduação em Economia

O Programa de Pós-Graduação em Economia convida a todos para participarem do seminário intitulado,  “Forecasting Volatility using Curve Time Series”,  que será ministrado pelo Prof. Dr. Flávio A. Ziegelmann – PPGE e PPGEst da UFRGS. 

Resumo: We model the stochastic evolution of probability density functions (pdf’s) of intraday returns over business days, in a functional time series framework. In our empirical analysis of Brazilian index returns, we find evidence that the pdf’s dynamic structure reduces to a vector process lying on a two-dimensional space. Our main contributions are as follows. First, we provide further insight on the finite-dimensional decomposition of the curve process: it is shown that its evolution can be interpreted as a dynamic dispersion-symmetry shift. Second, we provide an application to realized volatility forecasting via several proposed strategies, with a forecasting ability comparable to HAR Realized Volatility models in the Model Confidence Set framework.

Data: 06/12/2019 (sexta-feira)

Horário: 14:30 hs.

Local: Sala 203 (sala de aula PPGEco) Bloco “F”  –  CSE/UFSC