quarta-feira, setembro 30, 2015

Seminário - FEA-SP

Amanhã vou dar um seminário na FEA-SP, sobre o artigo "A Continous Spatio-Temporal Model for House Prices in the United States", as 16 horas na sala G1(FEA-1). Vou aproveitar e comentar sobre outros trabalhos usando modelos espaciais e espaço-temporais que venho trabalhando.

domingo, setembro 13, 2015

Seminário - EAESP-FGV

Amanhã (14/09) irei apresentar o artigo - The Multivariate Stochastic Volatility-Double Jump Model: An Application for Oil Assets, realizado em co-autoria com o Roberto Mauad (Bacen) e Fernando Lucena (UERJ), no seminário de finanças da EAESP-FGV.  O resumo está abaixo.

We propose a new multivariate model to capture the presence of jumps in mean and conditional variance in the returns of oil prices and companies in this sector. The model is based on the presence of common factors associated with jumps in mean and variance, and performs a decomposition of the conditional variance of each asset as the sum of the common factor plus a specific transitory factor in a multivariate stochastic volatility structure, estimated through Bayesian methods using Markov Chain Monte Carlo.

The model allows recovering the changes in prices and volatility patterns observed in this sector, relating the jumps with the events observed in the period 2000-2015. We apply the model to estimate risk management measures, hedging and portfolio allocation and performing a comparison with other multivariate models of conditional volatility. 


O seminário é das 9:00 as 10:30, na EAESP.