Alessandra Luati (University of Bologna) on "The predictive density of a GARCH(1,1) process" with K. Abadir and P. Paruolo

Alessandra Luati (University of Bologna) on
Speaker:  Alessandra Luati - University of Bologna
  Wednesday, May 24, 2017 at 12:30 PM Polo Santa Marta, Via Cantarane 24, Room 1.59
We derive the predictive probability density function of a GARCH(1,1) process, under Gaussian or Student-t innovations. The analytic form is novel, and replaces current methods based on approximations and simulations.

Programme Director
Luigi Grossi

Publication date
May 25, 2016