Seminario 14/30: M.V. Caballero (UMU) – Symbolic Correlation Integral. Getting Rid of the Proximity Parameter

MVictoria

Abstract In this paper we introduce the symbolic correlation integral SC(m), which avoids the noisy parameter ” of the classical correlation integral defined by Grassberger-Procaccia. Moreover we provide the asymptotic distribution of SC(m) under the null of i.i.d. With a MonteCarlo simulation we show the size and the power performance of the new test under…

Seminario 14/26: M.A.CARNERO (UA) – Identification of asymmetric conditional heteroskedasticity in the presence of outliers

img1979136_Autoregressive-conditional-heteroskedasticity_osnova_Teorii_Volatilnosti

ABSTRACT: The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities. We show that, as expected, one isolated big outlier biases the sample cross-correlations towards zero and hence could hide true leverage…

Seminario 14/22 – Enrique SENTANA (CEMFI): Is a normal copula the right copula?

stocksii

Abstract   Nowadays copulas are extensively used in economic and finance applications, with the Gaussian copula being very popular despite ruling out non-linear dependence, particularly in the lower tail. We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against Generalised Hyperbolic alternatives, which include the symmetric and asymmetric Student t, and Hermite polynomial expansions. We…

Seminario nº18: The two greatest, Great Recession vs. Great Moderation

Great-Recession-02

Abstract: The collapse of the global economy in 2008, following the outbreak of the financial crisis, and the ensuing economic developments of the so-called Great Recession (GR), led many economists to suggest that the relative oasis in which we had lived for almost a quarter of a century, known as the Great Moderation (GM), had indeed…