*Tid:* **9 juni 2011 kl 14.15-15.00.** (Observera dagen och
tiden)
**Seminarierummet 3721**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7.
Karta!
*Föredragshållare:*
**
Jonas Bergroth
**
**Titel:**
Performance and risk analysis of the Hodrick-Prescott filter
(Examensarbete - Master thesis)
**Abstract**
We evaluate the consistent estimator of the noise-to-signal ratio parameter,
the so called DDR
estimator, in the Hodrick-Prescott filter introduced in
Dermoune et al. (2008, [2]) and suggest
two ways to update it to make the probability distribution of the
cyclical component as closer
to Gaussian as possible. When comparing the results between the
different estimators, both the
trend and the cyclical component are analyzed to decide which of the
three estimators generates
the best result. It appears that in most cases the DDR estimator gives
the best trend component.
We then apply the filter to standard risk calculations in the sense that
we compare risk figures
such as Value-at-Risk and expected volatility obtained for the original
time series and the filtered
one. The observed variation in the ratio of these two risk figures may
be useful to enhance the
performance of the underlying optimal portfolio.
The full report (pdf)
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