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Seminário Conjunto UFSCar/ICMC-USP ? 28/03/2014 -
14h00 LOCAL:
Sala
de Seminários ? DEs/UFSCar
TITLE: Comparison Results
for GARCH Processes NAME: Salimeh Yasaei Sekeh
(Posdoc
UFSCar/ICMC) ABSTRACT:
We
consider the problem of stochastic comparison of general GARCH-like processes,
for different parameters and different distributions of the innovations. We
identify several stochastic orders that are propagated from the innovations to
the GARCH process itself, and discuss their interpretations.We focus
on the convex order and show that in the case of symmetric innovations it is
also propagated to the cumulated sums of the GARCH process. More
generally, we discuss multivariate comparison results related to the
multivariate convex and supermodular order. Finally
we discuss ordering with respect to the parameters in the GARCH (1,1)
case. (Work in
joint with Fabio Bellinia, Franco Pellereyb, Carlo
Sgarrac a
Dipartimento di Metodi Quantitativi, Universita di Milano Bicocca,
ITALY b
Dipartimento di Mathematica Politecnico di Torino, Torino,
ITALY |