Time: Monday, 15. March 2004 from 13.00 to 14.30
Location: Seminarraum 105a (Mehrzweckraum), Argentinierstr. 8, 1. Floor
Speaker: Dr. Daniel Straumann (RiskLab, ETH Zurich)
Title: Estimation in Conditionally Heteroscedastic Time Series Models
Abstract: This talk deals with the estimation in certain conditionally
heteroscedastic time series models, such as e.g. GARCH, asymmetric GARCH
or EGARCH. By exploiting the techniques of stochastic recurrence
equations, we develop a general and unifying limit theory for the
maximum-likelihood estimator (MLE) and quasi-maximum likelihood
estimator (QMLE) in a certain parametric class of conditionally
heteroscedastic time series models. This generalizes and clarifies work
of Lumsdaine (1996) and Berkes et al.(2003). We furthermore discuss the
issue of misspecification in the MLE and the behavior of the QMLE in the
presence of a heavy-tailed noise distribution. A second part of the
thesis studies the asymptotic behavior of the classical Whittle
estimator when it is applied to the squares of GARCH(1,1). We focus on
the case of an unconditional distribution with an infinite 8th moment
and thereby generalize results by Giraitis and Robinson (2001).
A copy of Dr. Straumann's recent Ph.D. thesis on this topic is in my office.
With best regards,
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).
---> 17:00-18:00 <---
An Alternative Proof of Fundamental Theorem of Asset Pricing with
Proportional Transaction Costs
I'll try to give a, somewhat rigorous, sketch of the proof of the
fundamental theorem in the setting of Jouini and Kallal (1995) using
arguments from utility maximization.