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Seminar on Probability and Statistics
Seminar information archive ～04/18｜Next seminar｜Future seminars 04/19～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2009/12/16
15:00-16:10 Room #128 (Graduate School of Math. Sci. Bldg.)
Stefano Maria Iacus (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 (Department of Economics, Business and Statistics, University of Milan, Italy)
ecent results on volatility change point analysis for discretely sampled stochastic differential equations
[ Abstract ]
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.
[ Reference 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
