HKUEMS :: Event Details

50th Anniv. Seminar Series on 'Consistency and asymptotic normality..' by Professor Timo TERÄSVIRTA
posted by Department of Statistics and Actuarial Science for HKU and Public
Event Type: Public Lecture/Forum/Seminar/Workshop/Conference/Symposium
Event Nature: Science & Technology

Event Details

DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
THE UNIVERSITY OF HONG KONG

50th Anniversary Seminar Series

Professor Timo TERÄSVIRTA
CREATES, Aarhus University
Denmark

will give a talk

entitled

CONSISTENCY AND ASYMPTOTIC NORMALITY OF
MAXIMUM LIKELIHOOD ESTIMATORS OF
A MULTIPLICATIVE TIME-VARYING SMOOTH TRANSITION
CORRELATION GARCH MODEL

Abstract

A new multivariate volatility model that belongs to the family of conditional correlation GARCH models is introduced. The GARCH equations of this model contain a multiplicative deterministic component to describe long-run movements in volatility and, in addition, the correlations are deterministically time-varying. Parameters of the model are estimated jointly using maximum likelihood. Consistency and asymptotic normality of maximum likelihood estimators are proved. Numerical aspects of the estimation algorithm are discussed. A bivariate empirical example is provided.

This is joint work with Annastiina Silvennoinen, QUT, Brisbane.

Date/Time29/03/2017 14:30-15:30
VenueRoom 301, Run Run Shaw Building, HKU
LanguageEnglish
Programmeclick to view
14:15 to 14:30 Refreshments will be served outside Room 301 Run Run Shaw Building
14:30 to 15:30 Seminar

Registration Instruction

Registration is not required.

Contact Information

For further information, please visit:
http://www.saasweb.hku.hk/seminar/seminar.php

Should you have any enquiries, please feel free to contact Ms. Irene Cheung by email at mayling@hku.hk or by phone at 39173812 or by fax at 28589041.