Abstract Details
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Activity Number:
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657
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Type:
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Invited
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Date/Time:
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Thursday, August 8, 2013 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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| Abstract - #307334 |
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Title:
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Modeling Financial Data with Heavy Tails and Long Memory
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Author(s):
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Rafal Kulik*+
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Companies:
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University of Ottawa
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Keywords:
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long memory ;
heavy tails ;
stochastic volatility
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Abstract:
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Abstract: We consider stochastic volatility model with heavy tails and long memory. We discuss basic probabilistic properties as well as statistical inference. In particular, estimation of memory and tail parameter is discussed. We also consider continuous-time stochastic volatility models and discuss practical statistical issues when data are collected in a discrete time.
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Authors who are presenting talks have a * after their name.
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