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
Relatore:  Alessandra Luati - University of Bologna
  mercoledì 24 maggio 2017 alle ore 12.30 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.

Referente
Luigi Grossi

Data pubblicazione
25 maggio 2016