The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Whittle estimation of exponential volatility models
Dr Paolo Zaffaroni, Imperial College London
Wednesday, 16th November 2005, 2pm
The Whittaker Room (211)
Abstract:
The strong consistency and asymptotic normality of the Whittle estimate of
the parameters in a class of exponential volatility processes are
established. The variable of interest might not have finite fractional
moment of any order and so, in particular, finite variance is not imposed.
We allow for a wide range of degrees of persistence of shocks to
conditional variance, covering a variety of parametric specifications of
interest that allow for short and long memory. A Montecarlo exercise shows
the small-sample properties of the estimator.
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
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Ingrid Harper
University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
Mathematical Sciences Building
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
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