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Enno Mammen, Mannheim U. Print
Thursday, 03 April 2014, 12:15 - 13:15

Enno Mammen, Mannheim University

Asymptotics for Stochastic Volatility Models with Application to the Parametric GARCH-in-Mean Model

Abstract: In this talk we will develop asymptotic theory for the parametric GARCH-M model. The asymptotics is based on a study of the volatility as process of the parameter. The proof makes use of stochastic recurrence equations for this random function and uses empirical process theory to localize the problem. It will be explained why the asymptotics for this model is complex although it is a rather standard parametric model. The theory does not treat yet all standard specifications of the mean function. The talk reports on joint work with Christian Conrad.


Location: R42.2.113
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it