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Jeudi 15 Novembre 2012

Enno MAMMEN (University of Mannheim) présentera une communication :

"Asymptotics for Stochastic Volatility Models with Application to the Parametric GARCH-in-Mean Model" avec Christian CONRAD (Heidelberg)

de 14 h à 15 h 30 en Salle S016 à l'INSEE-CREST,
15 Boulevard Gabriel Péri, 92245 MALAKOFF (Métro : Malakoff/Plateau de Vanves (Immeuble "Malakoff 2

Abstract : In this talk an asymptotic theory for the parametric GARCH-M model is developed. The asymptotics is based on a study of the volatility as process of the parameter. The proof makes use of stochastic recurrence equations for this random function and uses empirical process theory to localize the problem. It will be explained why the asymptotics for this model is complex although it is a rather standard parametric model. The theory does not treat yet all standard specifications of the mean function.