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, ) 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.
|Sidansvarig: Filip Lindskog