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Graduiertenkolleg Angewandte Algorithmische Mathematik



Graduiertenseminar


Bayesian estimation of multivariate copulas using pair-copula constructions
Vortragender:

Dimitris N. Politis, University of California, San Diego
Termin: Donnerstag, 21.06.2007
Ort: LMU Muenchen, Theresienstr. 39, Raum B005
eingeladen von: Prof. Klüppelberg


Abstract: Some principles of model-free prediction are laid out based on the notion of transforming a given set-up into one that is easier to work with, e.g., i.i.d.~or Gaussian. An application to financial time series is discussed in detail, namely the problem of prediction of squared returns.

As it turns out, the transformation technique outperforms the well-known ARCH/GARCH models in terms of predictive accuracy.


Andrea Kampfer (kampfer(at) ma.tum.de)
 Juni 2007