[Statlist] Séminaire Institut de Statistique,

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SEMINAIRE DE STATISTIQUE
Institut de Statistique, Université de Neuchâtel
PAM 110 - Pierre à Mazel, 7  Neuchâtel

http://www2.unine.ch/statistics

Mardi 31 mars 2009, 12h00 - 13h00
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Sylvain Sardy, Section Mathématiques, Université Genève

Title: $\ell_{1}$-penalized likelihood smoothing of stationary volatility processes allowing for abrupt changes

Joint work with David Neto (UG) and Paul Tseng (UW)

Abstract: We consider the problem of estimating the volatility of a financial asset from a time series record. We believe the underlying volatility process is smooth, with potential abrupt changes due to market news, and possibly stationary.
By drawing parallels between time series and regression models, in particular between stochastic volatility models and Markov random fields smoothers, we propose a semiparametric estimator of volatility that we apply to real financial data.




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