Localisation

Adresses

Aix-Marseille Université
Institut de Mathématiques de Marseille (I2M) - UMR 7373
Site Saint-Charles : 3 place Victor Hugo, Case 19, 13331 Marseille Cedex 3
Site Luminy : Campus de Luminy - Case 907 - 13288 Marseille Cedex 9

A Flexible State-Space Model with Application to Stochastic Volatility




Date(s) : 10/04/2017   iCal
15h30 - 16h30

We introduce a general state-space (or latent factor) model for time series and panel data. The state process has a polynomial expansion based dynamics that can approximate any Markov dynamics arbitrarily well, and has a latent, endogenous switching regime interpretation. The resulting state-space model is associated with simulation-free, recursive formulas for prediction and filtering, as well as the maximum composite likelihood estimation method, which has an extremely low computational cost. When applied to the stochastic volatility (SV) of asset returns, the model captures, in a unified framework, stylized facts such as heavy tailed return, volatility feedback, as well as time irreversibility. The methodology is illustrated using Apple stock return data, which confirms the improvement of our model with respect to a benchmark SV model.

https://www.greqam.fr/en/users/lu

Catégories Pas de Catégories


Secured By miniOrange