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Prof. Yasuhiro Omori, Faculty of Economics, University of Tokyo, Japan.
In financial markets, It is well-known that financial time series often exhibit a behaviour called volatility clustering, and that the volatility of the asset return changes randomly with high persistence. The stochastic volatility model describes such dynamic structures of the unobserved logarithm of the volatilities. In this tutorial, the recent developments in the stochastic volatility models for the asset returns such as returns of stocks, foreign currencies and interest rates are introduced. We first introduce the basic stochastic volatility model, and shall extend it to various volatility models. Noting that the realized volatility computed from the high frequency data has been used recently to estimate the true volatility, we also discuss the joint modelling of the asset return and the realized volatility, called the realized stochastic volatility. The computer codes such as R codes will be used to analyze dataset and to demonstrate the Markov chain Monte Carlo estimation method.
Detailed to access will be provided in due course.
|15:00 - 17:00||Session I|
|17:00 - 17:30||Break|
|17:30 - 19:30||Session II|