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統計数学セミナー
過去の記録 ～04/18｜次回の予定｜今後の予定 04/19～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2009年12月16日(水)
15:00-16:10 数理科学研究科棟(駒場) 128号室
Stefano Maria Iacus 氏 (Department of Economics, Business and Statistics, University of Milan, Italy)
ecent results on volatility change point analysis for discretely sampled stochastic differential equations
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/12.html
Stefano Maria Iacus 氏 (Department of Economics, Business and Statistics, University of Milan, Italy)
ecent results on volatility change point analysis for discretely sampled stochastic differential equations
[ 講演概要 ]
In this seminar we review recent advances on change point analysis for the volatility component of stochastic differential equations under different discrete sampling schemes. We consider both ergodic and high frequency and non ergodic cases. Results have been obtained by means of least squares, CUSUM tests and quasi-maximum likelihood approach. We show an application to the recent financial crisis and finally present a Monte Carlo study to compare the three methods under different setups.
Join work with Prof. Nakahiro Yoshida.
[ 参考URL ]In this seminar we review recent advances on change point analysis for the volatility component of stochastic differential equations under different discrete sampling schemes. We consider both ergodic and high frequency and non ergodic cases. Results have been obtained by means of least squares, CUSUM tests and quasi-maximum likelihood approach. We show an application to the recent financial crisis and finally present a Monte Carlo study to compare the three methods under different setups.
Join work with Prof. Nakahiro Yoshida.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/12.html
