Tid: 31 maj 1999 kl 1515-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Timo Teräsvirta, Department of Economic Statistics, Stockholm School of Economics.

Titel: Modelling volatility (Fortsättning på seminariet 12 april 1999)


This presentation is a short review on time series models for the conditional variance. This area of time series analysis has gained popularity since the 1980's and the number of applications to financial time series has recently been growing very fast. I discuss the general structure of such models and take up special cases of univariate models. I consider the ability of conditional variance models to describe stylized facts frequently found in financial time series. Time permitting, I also take up some modelling issues. Multivariate models of conditional variance will also receive attention.

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