EL DEPARTAMENTO DE ACTUARÍA Y SEGUROS

Invita al Seminario de Riesgo:

Time series copula models using
d-vines and v-transforms

Alexander McNeil
Management School
University of York

An approach to modelling volatile financial return series using stationary d-vine copula processes combined with Lebesgue-measure-preserving transformations known as v-transforms is proposed. By developing a method of stochastically inverting v-transforms, models are constructed that can describe both stochastic volatility in the magnitude of price movements and serial correlation in their directions. In combination with parametric marginal distributions it is shown that these models can rival and sometimes outperform well-known models in the extended GARCH family.

Viernes 1 de Octubre 2021, 9:00
https://itam.zoom.us/j/91214772512

El Departamento Académico de Actuaría y Seguros agradece que hagan extensiva esta invitación a sus alumnos.